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Lorenzo Villassero

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#machine learning Preprint Aug 2026

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

Improvements are consistent across realized risk, risk-adjusted performance, and drawdown control, remain after the modeled execution frictions, and are supported by a 99.9\% Model Confidence Set that retains only the neural estimator.

Christian Bongiorno, Lorenzo Villassero · 0 citations