چكيده لاتين :
This paper reformulates the unified robus t model and reveals the
relationship between uncertainty sets using norm bodie s and their corresponding
robust counterparts defined by dual norms. It show s how to app ly a unified robust
modeling approach to portfolio selection . It is shown how the robust model of an
uncertain portfolio se lection can be adjusted according to the deci sion makerי s utility
function and the uncertainty of the return parameters. The model can be tuned by
choosing an appropriate norm body and the radius of the uncertainty region .
Simulation experiments have been carried out using 10000 samples of the return
parameters for vario us lp -norm solutions. The computational results provide some
general guidelines as how to choose a suitable lp -norm in the unified robust model
according to the degree of risk aversion of an investor. In addition, when the
uncertainty is large , the inves tor personality does not play an important role and loc norm
is the choice.
