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Copper is the best choice for both RFI and EMI, due to the fact that copper is a poor inductor. Simply wrap copper tape around the cords, and ballast if needed.
You can also try attaching a ferrite core to the cords.
If you do not ground the shield it is not going to attenuate the emi/rfi. It will rather act more like an antenna than shielding. For best effect ground it at each end.