sp500.subset

This data set provides a subset of the SP500 with returns suitable
for running against the portfolio optimization routines.

datasets

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.

Brian Lee Yung Rowe

tawny

sp500.subset: A subset of the SP500 with 200 data points

Description

Usage

Arguments

format

source