|Windows 64-bit Version Available
There is now a 64-bit version of Portfolio Probe for Windows.
Ledoit-Wolf shrinkage variance versus factor model
If you are using R, then there is essentially no difference except that you can do larger analyses. Switching between 32-bit and 64-bit R is trivial. The objects created in one version work in the other.
A key advantage of 64 bits for Portfolio Probe is that you can generate more and bigger random portfolios. Generating tens of thousands of smallish portfolios is no problem with 32 bits, but 64 bits and a substantial amount of RAM on your machine allows you the luxury of not needing to worry about the size of your objects.
Existing customers are being offered the 64-bit version half-price for a limited time.
The blog has had a series of posts testing the quality of the Ledoit-Wolf shrinkage estimate of variance relative to a statistical factor model. The most recent post in this series is http://www.portfolioprobe.com/2011/05/04/again-with-ledoit-wolf-and-factor-models/
This comparison grew out of an exploration of risk fractions -- the constraint that was added in version 1.03 of Portfolio Probe.