---
title: Robust Linear Regression for Portfolio Optimization
url: https://www.ml-quant.com/papers/ssrn/4761214/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4761214
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4761214
featured: 2024-03-20
citations: unknown
topic: Portfolio & Allocation
---


# Robust Linear Regression for Portfolio Optimization

The research presents a new optimization framework that minimizes unknown parameters and addresses estimation error in portfolio optimizations by focusing on the row sums of precision matrix estimates.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4761214
- Identifier: SSRN 4761214
- Released: 2024-03-16
- First featured: Quant Letter No. 41 (2024-03-20): https://www.ml-quant.com/issues/2024-03-20/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Portfolio & Allocation

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