Two Sides of Schur Damping: High-Dimensional Pseudo-Likelihoods and Portfolio Allocation

By Peter Cotton

Published 2026-06-11

Everscope rating

1919.7

Relevance to quantitative trading

8 / 10

Implementation complexity

5 / 10

Reproducibility

3 / 5

About this paper

Methodology: Schur Complement Damping with Reliability Shrinkage. Problem types: Portfolio Optimization, Risk Management, Density Estimation, Dimensionality Reduction, Optimization.

arXiv:2606.14798 · Code · Paper rankings

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