Average Oracle Method (AO)

Forecast an (averaged) asset covariance matrix using the Average Oracle (AO) method.

Due to the nature of the endpoint, subsequent calls with the same input data might result in different output data.

References

• Bongiorno, C., Challet, D. and Loeper, G., Filtering time-dependent covariance matrices using time-independent eigenvalues. J. Stat. Mech.: Theory and Experiment, 2023, 2, 023402
• Gianluca De Nard, Olivier Ledoit, Michael Wolf, Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly, Journal of Financial Econometrics, Volume 19, Issue 2, Spring 2021, Pages 236–257