We propose a novel dynamic approach to forecast the weights of the global minimum variance portfolio (GMVP). The GMVP weights are the population coefficients of a linear regression of a benchmark return on a vector of return differences. This representation enables us to derive a consistent loss...

We propose a novel dynamic approach to forecast the weights of the global minimum variance portfolio (GMVP). The GMVP weights are the population coefficients of a linear regression of a benchmark return on a vector of return differences. This representation enables us to derive a consistent loss...

We consider the problem of finding an optimal transport plan between an absolutely continuous measure and a finitely supported measure of the same total mass when the transport cost is the unsquared Euclidean distance. We may think of this problem as closest distance allocation of some resource...