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Journal of Inequalities and Applications

Table 1 \(\pmb{(p,w)}\) -Norm uncertainty approach

From: Robust portfolio selection under norm uncertainty

p

p -exp. return

p -min. return

p -max. return

p -dev

0

1.2000

0.9115

1.4885

0.2885

5

1.1847

1.1108

1.2586

0.0186

10

1.1785

1.1298

1.2272

0.0123

15

1.1739

1.1349

1.2130

0.0094

20

1.1689

1.1409

1.1968

0.0063

25

1.1671

1.1444

1.1898

0.0047

30

1.1617

1.1435

1.1799

0.0036

35

1.1582

1.1449

1.1715

0.0025

40

1.1510

1.1501

1.1519

8.8294e − 004

45

1.1513

1.1504

1.1523

9.2802e − 004

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