Robust optimization is a tractable alternative to stochastic programming particularly suited for problems in which parameter values are unknown, variable and their distributions are uncertain. We evaluate the cost of robustness for the robust counterpart to the maximum return portfolio...

Second order Stochastic Dominance (SSD) has a well recognised importance in portfolio selection, since it provides a natural interpretation of the theory of risk-averse investor behaviour. Recently, SSD-based models of portfolio choice have been proposed; these assume that a reference distribution...