{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,9]],"date-time":"2026-10-09T09:49:29Z","timestamp":1791539369873,"version":"4.3.4"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>In high dimensions, no covariance estimator uniformly dominates out of sample, yet investors must choose one. We show that this model uncertainty can be diversified. Our double Markowitz procedure treats regularized mean-variance portfolios as assets and re-optimizes their combination. A newly developed corrected criterion makes this approach feasible, delivering strict asymptotic Sharpe-ratio gains when candidates offer complementary risk-adjusted returns. Our procedure extends beyond rotation-equivariant spectral shrinkage and accommodates efficient-frontier and minimum-variance objectives. Empirically, hedging covariance-model uncertainty significantly improves performance relative to single-estimator portfolios and spectral shrinkage benchmarks.<\/jats:p>","DOI":"10.2139\/ssrn.7587559","type":"posted-content","created":{"date-parts":[[2026,10,9]],"date-time":"2026-10-09T08:58:37Z","timestamp":1791536317000},"source":"Crossref","is-referenced-by-count":0,"title":["Blessing of Markowitz: Hedging Covariance Uncertainty in High-Dimensional Portfolio Optimization"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-9603-9441","authenticated-orcid":true,"given":"Shiwei","family":"Huang","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Jiang","family":"Dandan","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Zhang","family":"Xinyu","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,9]],"date-time":"2026-10-09T08:58:37Z","timestamp":1791536317000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7587559"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7587559","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}