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