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Nested Clustered Optimization Is One End of a Schur Bridge, and the Interior Is Sometimes Provably Better

Cotton, Peter
arXiv (All) · Papers
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g-1-6g-3j-4mathematical-financeoptimization-and-controlportfolio-management
Nested clustered optimization allocates within each cluster from the cluster's own covariance block and then across the resulting cluster portfolios. Block inversion says the unconstrained minimum-variance portfolio has the same two-tier shape, with each block replaced by its Schur complement agains
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