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20232026
most citedCovariance matrix filtering and portfolio optimisation: the Average Oracle vs Non-Linear Shrinkage and all the variants of DCC-NLS

2 citations · 3 across the 6 of their papers we have counts for

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q-fin.RM2025

Noise-proofing Universal Portfolio Shrinkage

Paul Ruelloux, Christian Bongiorno, Damien Challet

We enhance the Universal Portfolio Shrinkage Approximator (UPSA) of Kelly et al. (2023) by making it more robust with respect to estimation noise and covariate shift. UPSA optimize…