MINIMAX AND ADAPTIVE COVARIANCE FUNCTION ESTIMATION IN FUNCTIONAL DATA ANALYSIS
T. Cai, Yi-Cheng Li, Ming Yuan
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Preprint
Sep 2026
Efficient and Adaptive Estimation of Portfolio Weights with Spectral Risk Measures
Spectral risk measures, including conditional value-at-risk (CVaR), generate a family of convex criteria for portfolio estimation. We study how the criterion should be chosen when different criteria share the same population minimizer, and whether the efficient criterion can itself be learned from data. We develop a ge...
Kang-Jie Zhou, Ming Yuan
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