Distributionally Robust Return-Risk Optimization Models and Their Applications

Table 2

Numerical results for Example 2 (𝜎₁=𝜎₃=0.2).

Model	ER	SD	(WER, WCVaR)
Model 1	0.7161𝑒−04	0.0209	(−0.0174, 0.1976)
Model 3	0.6785𝑒−04	0.0209	−0.0400
[21]	0.6386𝑒−04	0.0209	—
(21)	0.2783𝑒−03	0.0253	—