What is the most effective unsupervised ML algorithm to use when outliers are present in data set? I am analyzing a portfolio of about 225 stocks and have gotten data for each of them based on their "Price/Earnings ratio", "Return on Assets", and "Earnings per share growth". I would like to cluster these stocks based on their attributes into 3 or 4 groups. However, there are substantial outliers in the data set. Instead of removing them altogether I would like to keep them in. What ML algorithm would be best suited for this? I have been told that K Means would not work so well since the outliers would skew the centroids of a particular cluster. Any and all thoughts welcome!
You could try a hierarchical clustering approach. As an example, K clusters could initially be found for the data points. Then, for each of the K clusters, an arbitrary number of clusters could be found from the data points within the cluster to further refine the clustering.