3 citations · 6 across the 4 of their papers we have counts for
4 papers
End-to-End Neural Shrinkage of Indefinite Pairwise Correlation Matrices for Small-Cap-Inclusive Portfolios
Christian Bongiorno, Lorenzo Villassero
Small-cap-inclusive equity universes contain recently listed and intermittently traded securities, so enforcing a common look-back discards a substantial fraction of the available…
End-to-End Large Portfolio Optimization for Variance Minimization with Neural Networks through Covariance Cleaning
Christian Bongiorno, Efstratios Manolakis, Rosario Nunzio Mantegna
We develop a rotation-invariant neural network that provides the global minimum-variance portfolio by jointly learning how to lag-transform historical returns and marginal volatili…
Optimal Data Splitting for Holdout Cross-Validation in Large Covariance Matrix Estimation
Lamia Lamrani, Christian Bongiorno, Marc Potters
Cross-validation is a statistical tool that can be used to improve large covariance matrix estimation. Although its efficiency is observed in practical applications and a convergen…
Quantifying the information lost in optimal covariance matrix cleaning
Christian Bongiorno, Lamia Lamrani
Obtaining an accurate estimate of the underlying covariance matrix from finite sample size data is challenging due to sample size noise. In recent years, sophisticated covariance-c…