End-to-End Neural Shrinkage of Indefinite Pairwise Correlation Matrices for Small-Cap-Inclusive Portfolios

By Christian Bongiorno, Lorenzo Villassero

Published 2026-08-31

Everscope rating

1555.9

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: RIEnet (Rotation-Invariant Neural covariance estimator for Incomplete panels). Problem types: Portfolio Optimization, Risk Management, Optimization, Density Estimation, Algorithmic Execution.

arXiv:2608.30446 · Paper rankings

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