slides

• Finally, the robust portfolio formulation isminimizewsubject to(‖V 0 w‖ + ρ ‖w‖) 2 + w T Dwµ T 0 w − γ T |w| ≥ β1 T w = 1.or, better, as the SOCPminimizew,tsubject tot 2 + w T Dwt ≥ ‖V 0 w‖ + ρ ‖w‖µ T 0 w ≥ β + γ T |w|1 T w = 1.Daniel P. Palomar 28