“…This robust technique has obtained prodigious success since the late 1990s, especially in the field of optimization and control with uncertainty parameters Nemirovski 1998, 1999;El Ghaoui and Lebret 1997;Goldfarb and Iyengar 2003a). With respect to portfolio selection, the major contributions have come in the 21st century (see, for example, Rustem et al 2000;Costa and Paiva 2002;Ben-Tal et al 2002;Goldfarb and Iyengar 2003b;El Ghaoui et al 2003;Tütüncü and Koenig 2004;Pinar and Tütüncü 2005;Lutgens and Schotman 2006;Natarajan et al 2009;Garlappi et al 2007;Pinar 2007;Calafiore 2007;Huang et al 2008;Natarajan et al 2008a;Brown and Sim 2008;Natarajan et al 2008b;Shen and Zhang 2008;Elliott and Siu 2008;Zhu and Fukushima 2008). For a complete discussion of robust portfolio management and the associated solution methods, see Fabozzi et al (2007), Föllmer et al (2008), and the references therein.…”