For a number of different formulations of robust portfolio optimization, quadratic and absolute, we show that a) in the limit of low uncertainty in estimated asset mean returns the robust portfolio converges towards the mean-variance portfolio obtained with the same inputs; and b) in the limit...

Robust optimization considers uncertainty in inputs to address the shortcomings of mean-variance optimization. We investigate the mechanisms by which robust optimization achieves its goal and give practical guidance regarding its parametrization. We show that quadratic uncertainty sets are...