arXiv stat.ML
· Papers
The Decision Geometry of Covariance Estimation for the Global Minimum-Variance Portfolio under Heavy Tails
arXiv:2606.27462v1 Announce Type: new Abstract: The global minimum-variance portfolio (GMVP) is the canonical decision built from an estimated covariance matrix, yet covariance estimators are universally evaluated by matrix-norm loss, which is not the object the decision depends on. We characterise exactly how covarian