Universal Portfolio Shrinkage Package:

Python package for the Universal Portfolio Shrinkage Approximator (UPSA), a flexible spectral shrinkage method that optimizes out-of-sample portfolio performance.

Based on:

Kelly, Bryan T., Semyon Malamud, Mohammad Pourmohammadi, and Fabio Trojani. Universal Portfolio Shrinkage. NBER Working Paper No. 32004, 2025.