tawny: Provides various portfolio optimization strategies including random matrix theory and shrinkage estimators

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.

Version: 2.1.0
Depends: R (≥ 2.10), tawny.types (≥ 1.1.0), futile.matrix (≥ 1.2.0), futile.logger (≥ 1.3.0), PerformanceAnalytics, quantmod
Suggests: RUnit
Published: 2013-02-06
Author: Brian Lee Yung Rowe
Maintainer: Brian Lee Yung Rowe <r at zatonovo.com>
License: GPL-3
NeedsCompilation: no
In views: Finance
CRAN checks: tawny results


Reference manual: tawny.pdf
Package source: tawny_2.1.0.tar.gz
OS X binary: tawny_2.1.0.tgz
Windows binary: tawny_2.1.0.zip
Old sources: tawny archive