Noise-Proofing Universal Portfolio Shrinkage

By Paul Ruelloux, Christian Bongiorno, Damien Challet

Published 2025-11-13

Everscope rating

1984.6

Relevance to quantitative trading

9 / 10

Implementation complexity

6 / 10

Reproducibility

4 / 5

About this paper

Methodology: AvgUPSA-AO (Average Universal Portfolio Shrinkage with Average Oracle). Problem types: Portfolio Optimization, Risk Management, Dimensionality Reduction.

arXiv:2511.10478 · Paper rankings

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