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A Reading Recommendation on Regularized Portfolio Allocation

Article Quant Q&A · Author: Mel
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Summary

The document asks for research on portfolio selection with robust statistics or regularization, mentioning methods such as LASSO and ridge regression. It names work on regularized portfolio selection and robust portfolio selection as examples of the topic, but does not explain either method or compare their results.

The accepted reply recommends a white paper on regularization of portfolio allocation and points to a related research talk. This is a short resource pointer rather than a substantive review: it provides no allocation procedure, empirical evidence, performance measures, or discussion of when regularization may help. Readers can use it as a starting point for further study, but the document itself does not establish the effectiveness of any approach.

Key ideas

  • The topic is portfolio selection using robust statistics and regularization methods such as LASSO and ridge regression.
  • The document identifies research on regularized and robust portfolio selection as relevant background.
  • Its reply points readers to a white paper on portfolio allocation regularization and a related research talk.
  • The document offers references rather than a method, comparative evidence, or conclusions about performance.

Tags

Portfolio constructionStatisticsRisk management
Full text
# Overview of robust/regularized portfolio selection


# Overview of robust/regularized portfolio selection












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

## Answer by Richi Wa (score 4, accepted)

https://quant.stackexchange.com/a/10793

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.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.