sweisser / ledoit_wolf

Ledoit Wolf shrinkage for covariance matrices in Java

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This implementation is based on the paper "Honey, I shrunk the sample covariance matrix" by Olivier Ledoit and Michael Wolf, 2003

Its purpose is to optimize the covariance matrix of asset returns before using it in a portfolio optimizer to reduce optimization error.

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Ledoit Wolf shrinkage for covariance matrices in Java

License:MIT License


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Language:Java 100.0%