Finance
Portfolio construction with covariance shrinkage
Compare raw and shrunk covariance estimates in an out-of-sample backtest.
- Status
- Planned
- Dataset
- Daily prices via yfinance
- Concepts
- covariance estimation, Ledoit-Wolf shrinkage, minimum variance
Problem
What question does this project answer, and who would use the answer?
Data
Source, size, licence, and any cleaning applied.
Method
Steps taken and why each was chosen.
Results
Key numbers and charts, with an honest evaluation.
Limitations
What the result does not show.
Theory note
The core idea behind the method, in plain language.