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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 http://www.admissions.american.edu/cas/economics/info-metrics/pdf/upload/Carrasco-Nov-2011-submission.pdf

D Goldfarb, G Iyengar, Robust portfolio selection problems, 2003 http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.100.7182&rep=rep1&type=pdf

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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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  • $\begingroup$ That stuff about non-negative matrix factorization is interesting. Thanks for that. $\endgroup$
    – John
    Apr 2, 2014 at 17:48
  • $\begingroup$ @John I thought that too. Basic concept but nice interpretation. Roncalli often presents such 'big picture'things. $\endgroup$
    – Richi Wa
    Apr 3, 2014 at 5:25

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