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: | 2.0.2 |
| 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 |
| Published: | 2012-02-07 |
| Author: | Brian Lee Yung Rowe |
| Maintainer: | Brian Lee Yung Rowe <r at nurometic.com> |
| License: | GPL-2 |
| In views: | Finance |
| CRAN checks: | tawny results |
| Package source: | tawny_2.0.2.tar.gz |
| MacOS X binary: | not available, see check log. |
| Windows binary: | tawny_2.0.2.zip |
| Reference manual: | tawny.pdf |
| Old sources: | tawny archive |