Robust multi-objective Portfolio selection problem

In finance, a Portfolio is a collection of assets held by someone. The Portfolio selection problem searches for an optimal distribution of money on these assets. To get this optimal distribution one must use mathematical programming. Based on the mean-variance model of Portfolio selection by Markowitz 4 and its application for a capital market model, CAPM, by Tobin 5). numerous researches have contributions to the development of modern Portfolio theory. However, the basic Portfolio selection problem can be formulized as follows