We develop in this paper a novel portfolio selection framework with a feature of dual robustness in both return distribution modeling and portfolio optimization. While predicting the return distributions of the future market always represents the most compelling challenge in investment, any...

In this paper we propose a novel interval optimization approach for portfolio selection when imprecise forecasts are available. We consider investors acting their choices according to the prospect theory, where scenarios are provided in the form of approximate numbers. The resulting constrained...