Proves an exact regret identity and non-asymptotic bound for GMVP suboptimality under covariance estimation error, with application to heavy-tailed returns.
Title resolution pending
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
stat.ML 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
The Decision Geometry of Covariance Estimation for the Global Minimum-Variance Portfolio under Heavy Tails
Proves an exact regret identity and non-asymptotic bound for GMVP suboptimality under covariance estimation error, with application to heavy-tailed returns.