This paper shows how to apply a unified robust modeling approach to portfolio selection. It is shown how the robust model of an uncertain portfolio selection can be adjusted according to the decision maker’s utility function and the uncertainty of the return parameters. The model can be adjusted by choosing an appropriate norm body and the radius of the uncertainty region. Simulation experiments have been carried out using 10000 samples of the return parameters for various lp -norm solutions. The computational results provide some general guidelines as how to choose a suitable -norm in the unified robust model according to the degree of risk aversion of an investor. In addition, when the uncertainty is large, the investor personality does not play an important role and l?-norm is the choice.
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