Estimation errors in both the expected returns and the covariance matrix hamper the constructing of reliable portfolios within the Markowitz framework. Robust techniques that incorporate the uncertainty about the unknown parameters are suggested in the literature. We propose a modification as...

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...