Portfolios selected based on the sample covariance estimates may not be stable or robust, particularly so in situations … with a large number of assets. The l1 or l2 norm constrained portfolio optimization method has been used as a robust method … to control the sparsity or to shrink the estimated weights of assets. In this paper, we propose to add an additional l …

applicable in econometric analysis beyond estimation of large covariance matrices. We discuss the utility of the robust …