docs: def shrunk_covariance(self, delta=0.2):
          """
          Shrink a sample covariance matrix to the identity matrix (scaled by the average
          sample variance). This method does not estimate an optimal shrinkage parameter,
          it requires manual input.
  
          :param delta: shrinkage parameter, defaults to 0.2.
          :type delta: float, optional
          :return: shrunk sample covariance matrix
          :rtype: np.ndarray
          """
          self.delta = delta
          N = self.S.shape[1]
          # Shrinkage target
          mu = np.trace(self.S) / N
          F = np.identity(N) * mu
          # Shrinkage
          shrunk_cov = delta * F + (1 - delta) * self.S
          return self.format_and_annualise(shrunk_cov)