Provides various portfolio optimization strategies including random matrix theory and shrinkage estimators CRAN Task View: Finance (http://CRAN.R-project.org/view=Finance) Portfolio optimization typically requires an estimate of a covariance matrix of asset returns. There are many approaches for constructing such a covariance matrix, some using the sample covariance matrix as a starting point. This package provides implementations for two such methods: random matrix theory and shrinkage estimation. Each method attempts to clean or remove noise related to the sampling process from the sample covariance matrix. Software Depends: R (>= 2.10.0), tawny.types (>= 1.0.0), futile.matrix (>= 1.1.0), futile.logger (>= 1.2.0), PerformanceAnalytics, zoo, xts, quantmod, RUnit Brian Lee Yung Rowe <r@nurometic.com> Brian Lee Yung Rowe GPL-2 2012-02-07 application/tgz http://CRAN.R-project.org/package=tawny