Robust portfolio selection under norm uncertainty

In this paper, we consider the robust portfolio selection problem which has a data uncertainty described by the (p,w)\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$(p,w)$\end{document}-norm in the objective function. We show that the robust formulation of this problem is equivalent to a linear optimization problem. Moreover, we present some numerical results concerning our robust portfolio selection problem.