swMATH ID: 15894
Software Authors: Brian Lee Yung Rowe
Description: R package tawny. 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.
Homepage: https://cran.r-project.org/web/packages/tawny/index.html
Source Code: https://github.com/cran/tawny
Dependencies: R
Keywords: CRAN; R package; Clean Covariance Matrices; Random Matrix Theory; Shrinkage Estimators; Portfolio Optimization
Cited in: 0 Publications