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Estimation of covariance matrix

This project contains implementation of two methods and a document with detailed explanation of linear shrinkage along with introduction to the problem of covariance estimation.

1. Linear shrinkage

"Improved Estimation of the Covariance Matrix of Stock Returns With an Application to Portfolio Selection / Ledoit and Wolf 2001"

http://www.econ.uzh.ch/en/people/faculty/wolf/publications.html

2. Non-Linear shrinkage

"Direct Nonlinear Shrinkage Estimation of Large-Dimensional Covariance Matrices / Ledoit and Wolf 2017"

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3047302