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I am looking for either a review paper or individual papers on portfolio selection using robust statistics or regularization (e.g. LASSO, Ridge, etc.)

I.e. a review on methods along the lines of:

M Carrasco, N Noumon, Optimal portfolio selection using regularization, 2011

D Goldfarb, G Iyengar, Robust portfolio selection problems, 2003

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The Lyxor white paper Regularization of Portfolio Allocation contains a lot on this topic. The head of quant research there, Thierry Roncalli, also held a talk about this recently.

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That stuff about non-negative matrix factorization is interesting. Thanks for that. –  John Apr 2 '14 at 17:48
@John I thought that too. Basic concept but nice interpretation. Roncalli often presents such 'big picture'things. –  Richard Apr 3 '14 at 5:25

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