pflab_expected_returns | Expected return per asset by one estimator: sample mean, exponentially weighted mean, market-implied equilibrium returns (reverse optimisation of market weights) or a shrinkage of the mean (James-Stein, Bayes-Stein, Bodnar-Okhrin; with the target and intensity). | |
pflab_covariance | Covariance matrix by one of 13 estimators (sample, EW, Ledoit-Wolf, OAS, fixed shrinkage, Gerber, random-matrix denoising, detoning, cross-validated graphical lasso, geodesic shrinkage, regime-adjusted EW, implied-volatility scaling). | |
pflab_variance | Variance and volatility per asset by the sample, exponentially weighted (RiskMetrics-style) or regime-adjusted EW estimator, with the regime multiplier. | |
pflab_covariance_forecast_evaluation | Out-of-sample quality of covariance forecasts: each estimator forecasts the next test_size periods, then the realised returns are scored. | |
