GSoC/GCI Archive
Google Summer of Code 2015 R Project for Statistical Computing

Covariance Matrix Estimators

by Rohit Arora for R Project for Statistical Computing

There exists a wide range of methods for estimating covariance matrices for asset returns that are useful in risk models and portfolio optimization. The methods include shrinkage estimators, estimators for handling unequal histories, and robust estimators that are not much influenced by outliers, among others. This project will create an R covariance estimators package for which the resulting estimators may by easily used in factor based risk models and in portfolio optimization.