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Robust Portfolio Estimation

Summary/Abstract: The article contains a thorough overview of the literature on robust estimation methods for robust portfolios, together with a proposal for two new methods, LTS and LMS, based on the concept of robust regression. The study also contains a detailed description of the most important research results obtained to date in this field then presents potential problems regarding the practical application of robust portfolios, together with an indication of further trends in this area, including the creation of rolling portfolios, which are at the same time robust and stable.

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