Training a covariance forecaster end-to-end on the minimum-variance portfolio's realized volatility beats MSE-trained and shrinkage-based estimators out of sample, but the paper's theoretical analysis rests on an unsatisfiable assumption.
Zico Kolter
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Estimating Covariance for Global Minimum Variance Portfolio: A Decision-Focused Learning Approach
Training a covariance forecaster end-to-end on the minimum-variance portfolio's realized volatility beats MSE-trained and shrinkage-based estimators out of sample, but the paper's theoretical analysis rests on an unsatisfiable assumption.