We introduce a universal framework for mean-covariance robust risk measurement andportfolio optimization.We model uncertainty in terms of the Gelbrich distance on the mean-covariance space, along with prior structural information about the population distribution.Our approach is related to the...

The scope of this volume is primarily to analyze from different methodological perspectives similar valuation and optimization problems arising in financial applications, aimed at facilitating a theoretical and computational integration between methods largely regarded as alternatives....