Model

Abbreviation

Denoise

M

${\mathcal{P}}_{\text{mrvc}}^{\text{rmt}}$

Mean-Realized Variance-Model (denoise)

MRVC (denoise)

yes

${\tilde{\Sigma }}_1$

${\mathcal{P}}_{\text{mrvc}}$

Mean-Realized Variance-CVaR Model

MRVC

no

${\Sigma }_1$

${\mathcal{P}}_{\text{mvc}}^{\text{rmt}}$

Mean-Variance-CVaR model (denoise)

MVC (denoise)

yes

${\tilde{\Sigma }}_2$