We investigate a robust version of the portfolio selection problem under a risk measure based on the lower-partial moment (LPM), where uncertainty exists in the underlying distribution. We demonstrate that the problem formulations for robust portfolio selection based on the worst-case LPMs of...

A multiobjective binary integer programming model for R&D project portfolio selection with competing objectives is developed when problem coefficients in both objective functions and constraints are uncertain. Robust optimization is used in dealing with uncertainty while an interactive procedure...