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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…
math.ST2025
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…