arxivstat.MLcs.LGq-fin.PM2026-06-25
The Decision Geometry of Covariance Estimation for the Global Minimum-Variance Portfolio under Heavy Tails
The global minimum-variance portfolio (GMVP) is the canonical decision built from an estimated covariance matrix, yet covariance estimators are universally evaluated by matrix-norm loss, which is not the object the decision depends on. We characterise exactly how covariance-estim…