SGD weight matrices are portfolio allocations whose spectra transition from Marchenko-Pastur to inverse-Wishart, unified by a Spectral Invariance Theorem that preserves singular-value distributions under isotropic perturbations.
Hans Buehler, Lukas Gonon, Josef Teichmann, and Ben Wood
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Spectral Portfolio Theory: From SGD Weight Matrices to Wealth Dynamics
SGD weight matrices are portfolio allocations whose spectra transition from Marchenko-Pastur to inverse-Wishart, unified by a Spectral Invariance Theorem that preserves singular-value distributions under isotropic perturbations.