每日简报

高维椭圆因子模型中主特征值与特征向量的两样本检验AI 解读

Changes in principal eigenvalues and eigendirections provide complementary diagnostics of structural instability in factor models, but covariance-based inference can be unreliable under heavy tails. We develop two-sample tests for equality of these features of trace-normalized shape matrices under high-dimensional elliptical factor models. Our approach combines Tyler's identity with orthogonalization and cross-fitting to accommodate general location and precision pilots. We…

Schmelzer and Hastie prove that Markowitz's Critical Line Algorithm and the LASSO path trace the same curve. This companion note checks that result numerically with a stock LASSO solver, \texttt{lars\_path} from \texttt{scikit-learn}, and no portfolio software. It covers long--short portfolios under a leverage cap, fixed leverage with varying risk appetite, and the classical long-only, fully invested frontier. Every corner the path returns meets its own optimality conditions…