A Geometric Unification of Distributionally Robust Covariance Estimators: Shrinking the Spectrum by Inflating the Ambiguity Set

• Man-Chung Yue

  Corresponding Author

  Man-Chung Yue

  [email protected]

  https://orcid.org/0000-0002-7992-9490

  Department of Data and Systems Engineering, University of Hong Kong, Hong Kong, China

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  ,
• Yves Rychener

  Yves Rychener

  [email protected]

  https://orcid.org/0000-0002-7992-9490

  Analytics and Optimization Laboratory, Ecole Polytechnique Fédérale de Lausanne, 1015 Lausanne, Switzerland

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  ,
• Daniel Kuhn

  Daniel Kuhn

  [email protected]

  https://orcid.org/0000-0003-2697-8886

  Analytics and Optimization Laboratory, Ecole Polytechnique Fédérale de Lausanne, 1015 Lausanne, Switzerland

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  ,
• Viet Anh Nguyen

  Viet Anh Nguyen

  [email protected]

  https://orcid.org/0000-0002-9607-7891

  Department of Systems Engineering and Engineering Management, Chinese University of Hong Kong, Hong Kong, China

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