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• First, consider the worst case mean return:minµ∈S µµ T w = µ T 0 w + min|δ i |≤γ iδ T w = µ T 0 w − γ T |w|which is a concave function.• Second, let’s turn to the second term of the worst-case variance:max w T Dw =D∈S Dmaxd i ∈[d i ,d i ]∑ Mi=1 d iw 2 i= ∑ Mi=1 d iw 2 i= w T Dw• Finally, let’s focus on the first term of the worst-case variance:max w T V T Vw ≡V∈S Vmax ‖V 0w + ∆w‖ = ‖V 0 w‖ + ρ ‖w‖‖∆‖ F ≤ρDaniel P. Palomar 26
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