Worst-case analysis of Gini mean difference safety measure

The paper introduces the worst-case portfolio optimization models within robust framework for maximizing return through either mean or median metrics. risk in is quantified by Gini difference. We put forward under mixed and interval+polyhedral uncertainty sets. proposed turn out to be linear integer programs set, semidefinite program set. performance comparison of on listed stocks Euro Stoxx 50, Dow Jones Global Titans S & P Asia consistently exhibit advantage over their conventional non-robust counterpart various parameters including standard deviation, worst return, value at risk, conditional maximum drawdown portfolio.