## tawny

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 |