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q-fin.PM2026★ 1 cited
Neural Network-Driven Volatility Drag Mitigation under Aggressive Leverage
Christian Bongiorno, Efstratios Manolakis, Rosario Nunzio Mantegna
This paper introduces a compact reformulation of a modular end-to-end neural network for global minimum-variance portfolio optimization that decouples model complexity from both lo…
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…