Replication Data for Variance-Targeted Covariance Shrinkage in Portfolio Optimization

Fulci, Alessandro provides a 69.9 MB dataset containing R scripts and objects to reproduce a simulation study on global minimum-variance portfolio optimization. The dataset includes code for generating synthetic data, estimation routines, and pre-saved results to avoid re-running computationally expensive steps. It was last updated on March 15, 2026.

Use Cases

• Reproducing simulation results for a covariance shrinkage method based on the described R scripts and saved objects.
• Benchmarking new portfolio optimization algorithms against the synthetic data generation processes mentioned in the description.
• Teaching advanced statistical finance concepts using the provided estimation routines and reproducible code.

Strengths

• Includes pre-saved results as .RData files (69.9 MB), allowing output reproduction without re-running expensive computations.
• Released under a permissive CC0-1.0 license, facilitating unrestricted use and redistribution.

Limitations

• Row count and column-level documentation are unknown, which may limit suitability assessment.
• The dataset consists of scripts and processed objects; the raw synthetic data is generated by code rather than provided as a standalone table.

Provenance

Source

Fulci, Alessandro

Collection Method

Likely generated synthetically via R scripts for a simulation study.

Freshness

Last updated 2026-03-15 12:05:50