We introduce a unified framework for rapid, large-scale portfolio optimization that
incorporates both shrinkage and regularization techniques. This framework addresses …

The present paper combines nonlinear shrinkage with the Multivariate Generalized
Hyperbolic (MGHyp) distribution to account for heavy tails in estimating the first and second …

Contributions in three main areas of statistics constitute this dissertation. The areas being
classification-based two-sample testing, asset return prediction via machine learning and …