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Bayesian Confidence Recalibration and Research-Equilibrium Criticality: Temporal Support in Robust Portfolios

Yanç, Han
arXiv (All) · Papers
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mathematical-financeoptimization-and-controlportfolio-management
Robust portfolio rules that reconstruct confidence sets after learning need not preserve the evaluator obtained by prior-by-prior Bayesian transport. In the Gaussian model, this discrepancy is summarized by natural-coordinate displacement: inherited transport preserves it whereas fresh reconstructio
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