R package for adaptive correlation and covariance matrix shrinkage.
-
Updated
Jan 23, 2019 - R
#
covariance-shrinkage
Here are 5 public repositories matching this topic...
Reproducibility repository for 'Beyond De Prado and Cotton: Hierarchical and Iterative Methods for General Mean-Variance Portfolios' (Wuebben): Python code and result artifacts for HRP-μ, HRP-Σμ, and the CRISP iterative shrinkage solver.
reproducible-research portfolio-optimization quantitative-finance asset-allocation mean-variance-optimization computational-finance covariance-shrinkage markowitz hierarchical-risk-parity
-
Updated
Apr 27, 2026 - Python
Adaptive Monitoring and Real-World Evaluation of Agentic AI Systems
roc multi-agent-systems chi-square evaluation-framework robustness mahalanobis-distance ewma covariance-shrinkage pr-curve llms agentic-ai online-monitoring adaptive-multi-dimensional-monitoring amdm goal-drift safety-and-ethics economic-impact trust-metrics fairness-and-bais
-
Updated
Dec 18, 2025 - Python
Portfolio input-estimation bridge that applies mean/covariance shrinkage and exports Black-Litterman-ready inputs.
-
Updated
Jun 4, 2026 - Python
Robust portfolio optimization in Python using rolling out-of-sample validation, covariance shrinkage, concentration constraints, risk parity, turnover and transaction costs.
python portfolio-optimization quantitative-finance asset-allocation risk-management portfolio-management covariance-shrinkage markowitz risk-parity ledoit-wolf out-of-sample transaction-costs
-
Updated
Sep 8, 2026 - Jupyter Notebook
Add this topic to your repo
To associate your repository with the covariance-shrinkage topic, visit your repo's landing page and select "manage topics."