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