2 papers
q-fin.PM2026
Shrinkage Estimators for Mean and Covariance: Evidence on Portfolio Efficiency Across Market Dimensions
Rupendra Yadav, Amita Sharma, Aparna Mehra
The mean-variance model remains the most prevalent investment framework, built on diversification principles. However, it consistently struggles with estimation errors in expected…
q-fin.PM2025
Robust MCVaR Portfolio Optimization with Ellipsoidal Support and Reproducing Kernel Hilbert Space-based Uncertainty
Rupendra Yadav, Aparna Mehra
This study introduces a portfolio optimization framework to minimize mixed conditional value at risk (MCVaR), incorporating a chance constraint on expected returns and limiting the…