Two-Stage Robust Optimization Model for Uncertainty Investment Portfolio Problems

Table 1

Description of parameters and variables.

Annotation	Description
	Continuous variables, , represent the investment ratio;
	Continuous variables, , represent the risk ratio;
	0–1 variable, , indicates the existence or nonexistence of the return;
	0–1 variable, , indicates whether the skewness be evaluated;
	0–1 variable, , indicates whether the risk measure is selected or not;
	Measure the probability of the th combination, ;
	Measure the combination of the investment ratio;
	Measure the output ratio of in portfolio, ;
	The profit rate;
	Indicative stock skewness, ;
	Indicates the maximum number of combinations that can be selected;
	Indicates the maximum acceptable skewness;
	Indicates the lowest acceptable information entropy;
	Indicate the maximum acceptable risk value;
	Measure the maximum loss of the portfolio;
	Standard deviation of portfolio;
	The quintile of normal distribution at the confidence level of ;
	Indicates acceptable expected risk value;
	;
	;