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.