A challenge with portfolio optimization is the
sensitivity of most optimization techniques to outliers in data or model
assumptions—little things can have a huge impact. Robust
estimation is a statistical approach that minimizes the effects of
outliers or model specification. This book does more than
explain portfolio optimization using robust estimation. It is a
mathematically rich exploration of research into various
portfolio optimization issues. Quantitative professionals or academics
will find many avenues of research to explore further ...