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Table 3 Ellipsoidal method

From: Robust portfolio selection under norm uncertainty

θ

S -exp. return

S -min. return

S -max. return

S -dev

0

1.2000

0.9104

1.4896

0.2896

1

1.1836

0.9492

1.1481

0.0235

\(\sqrt{150}\)

1.1503

1.1267

1.1740

0.0236