R package for adaptive correlation and covariance matrix shrinkage.
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Jan 23, 2019 - R
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covariance-shrinkage
Here are 6 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
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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
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Dec 18, 2025 - Python
Paper VII of Statistical Pharmacology via Kakutani Dichotomy: kakutani_pharma, a Python pipeline for Kakutani indices of MD conformational ensembles. Ledoit-Wolf regularized CKI with an exact three-way decomposition, split-trajectory null subtraction, within-half block bootstrap, and pocket-centred shell-scaling exponents. Validated on a synthetic
reproducible-research numpy molecular-dynamics scipy python-package allostery structural-bioinformatics bhattacharyya-distance covariance-shrinkage normal-mode-analysis ledoit-wolf block-bootstrap high-dimensional-statistics finite-size-scaling elastic-network-models computational-pharmacology kakutani-dichotomy conformational-ensembles
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Sep 29, 2026 - Python
Portfolio input-estimation bridge that applies mean/covariance shrinkage and exports Black-Litterman-ready inputs.
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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
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Sep 8, 2026 - Jupyter Notebook
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