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• We can then formulate the robust mean-variance problem asminimizewsubject tomax w ( T V T V + D ) wV∈S V ,D∈S Dmin w T µ ≥ βµ∈S µ1 T w = 1.• We will define the uncertainty as follows:S µ = {µ | µ = µ 0 + δ, |δ i | ≤ γ i , i − 1, . . . , M}S V = {V | V = V 0 + ∆, ‖∆‖ F≤ ρ}S D = { D | D = diag (d) , d i ∈ [ ] }d i , d i , i − 1, . . . , M .• Let’s now elaborate on each of the inner optimizations...Daniel P. Palomar 25