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Paper / 2026SMQ / 186785680418032
The Decision Geometry of Covariance Estimation for the Global Minimum-Variance Portfolio under Heavy Tails
Xavier Fonseca
portfolio management / portfolio optimizationResource overview

The Decision Geometry of Covariance Estimation for the Global Minimum-Variance Portfolio under Heavy Tails

Paper2026

by Xavier Fonseca

Tags
portfolio managementportfolio optimization

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Suggested foundations for portfolio construction. Specialist prerequisites vary by paper.

Before you read

  1. Eigenvalues and Covariance Matrices

    Understand the covariance structure of portfolio risk.

  2. Constrained and Convex Optimisation

    Read objectives, constraints and optimality conditions.

Go further

  1. Mean-Variance Optimisation

    Construct allocations and examine sensitivity to estimated inputs.

  2. Portfolio Constraints

    Turn mathematical weights into feasible portfolio decisions.

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