q-fin.PM · 2026-09-01 · No. 102

Portfolio Management, 2026-09-01.

1 new papers in q-fin.PM. Titles, authors, abstracts. Links to arXiv. Want this in your inbox every morning? Subscribe →

01 — The papers

1 entries
  1. 01

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

    Christian Bongiorno, Lorenzo Villassero

    q-fin.PM · cs.LG · q-fin.ST

    Small-cap-inclusive equity universes contain recently listed and intermittently traded securities, so enforcing a common look-back discards a substantial fraction of the available information. Pairwise-complete estimation preserves the longest overlap for each asset pair, but the resulting correlation matrix can be indefinite because its entries are computed on different samples. This prevents direct use in Markowitz optimization and falls...

    arxiv.org/abs/2608.30446 · PDF

This edition is part of The Daily Abstract — q-fin.PM archive. Subscribe to receive these in your inbox each morning, automatically translated to Spanish, with reply-to-PDF: arxivdaily.ignorelist.com.

Colophon Set in Georgia, with system sans for interface chrome and a monospaced stack for code and paper identifiers. Sole accent: amber #D99C5E. Built and served on an always-free VM. The masthead is set 14% letterspaced because newspapers do that and it works.