most citedSchur Complementary Allocation: A Unification of Hierarchical Risk Parity and Minimum Variance Portfolios

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stat.ME2026

Scalable Inversion of Contests with Correlated Performances, Including Softmax and Multinomial Probit

Peter Cotton

Multinomial probit choice probabilities over n alternatives are Gaussian orthant integrals, computed by simulation for thirty years, one expensive integral per alternative. Inversi…