ℓ1‐ and box‐uncertainty sets, whereas we now focus on ellipsoidal uncertainty sets. For uncertainty in q or M, we derive …

second order cone optimization in the case of ellipsoidal uncertainty. Many examples are given, especially Markovian queueing …

–variance investors can be ambiguity averse, i.e., diffident about mean return estimates where confidence is represented using ellipsoidal … uncertainty sets, we derive a closed form portfolio rule based on a worst case max–min criterion. Then, in a market where all …

return vector is modeled via an ellipsoidal uncertainty set. In the presence of a riskless asset, the robust CVaR and VaR …