3 citations · 6 across the 4 of their papers we have counts for
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q-fin.PM2026
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…
q-fin.PM2025★ 3 cited
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…