The Decision Geometry of Covariance Estimation for the Global Minimum-Variance Portfolio under Heavy Tails
Xavier Fonseca
stat.ML, cs.LG, q-fin.PM
Submitted: 2026-06-25
Comments: 19 pages, 1 figure
License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
Terminology
Sources
- Covariance Estimation: Optimal Dimension-free Guarantees for Adversarial Corruption and Heavy Tails
- Return Prediction for Mean-Variance Portfolio Selection: How Decision-Focused Learning Shapes Forecasting Models
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