⚠️There's a newer version (2.1.7) of this package.Take me there.
tawny (version 1.2.1)
Provides various portfolio optimization strategies including
random matrix theory and shrinkage estimators
Description
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.