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Tools for denoising covariance and correlation matrices
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Install
install.packages('tawny')
Monthly Downloads
80
Version
2.1.6
License
GPL-3
Maintainer
Brian Lee Yung Rowe
Last Published
July 10th, 2016
Functions in tawny (2.1.6)
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tawny-package
Clean Covariance Matrices Using Random Matrix Theory and Shrinkage Estimators for Portfolio Optimization
denoise
Remove noise from a correlation matrix using RMT to identify the noise
sp500.subset
A subset of the SP500 with 200 data points
sp500
A (mostly complete) subset of the SP500 with 250 data points
cov_shrink
Shrink the covariance matrix towards some global mean
divergence
Measure the divergence and stability between two correlation matrices
optimizePortfolio
Optimize a portfolio using the specified correlation filter
getPortfolioReturns
Utility functions for creating portfolios of returns and other functions