Code and Results for Chapter 5:

• Various covariance regularization methods:
  • trace_regularization.cpp (the trace method)
  • scale_regularization.cpp (the scaling method)
  • ht_regularization.cpp (the hypothesis testing method)

Alternative Regularization Techniques:

• Improved Estimation of the Covariance Matrix of Stock Returns With an Application to Portfolio Selection
  
  • covMarket.cpp (a C++ translation of part of the MATLAB code linked to the above paper)