Bi-level optimization approach for robust mean-variance problems

Portfolio Optimization is based on the efficient allocation of several assets, which can get heavily affected by uncertainty in input parameters. So we must look for such solutions give us steady results uncertain conditions too. Recently, optimization problems are being dealt with robust approach. With this development, interest researchers has been shifted toward portfolio optimization. In paper, study counterparts mean-variance under box and ellipsoidal uncertainties. We convert those into bi-level models then derive their counterparts. also solve a problem using methodology compared optimal nominal model.