TY - JFULL AU - Pulak Swain and A. K. Ojha PY - 2021/3/ TI - Multi-Criteria Based Robust Markowitz Model under Box Uncertainty T2 - International Journal of Mathematical and Computational Sciences SP - 13 EP - 17 VL - 15 SN - 1307-6892 UR - https://publications.waset.org/pdf/10011830 PU - World Academy of Science, Engineering and Technology NX - Open Science Index 170, 2021 N2 - Portfolio optimization is based on dealing with the problems of efficient asset allocation. Risk and Expected return are two conflicting criteria in such problems, where the investor prefers the return to be high and the risk to be low. Using multi-objective approach we can solve those type of problems. However the information which we have for the input parameters are generally ambiguous and the input values can fluctuate around some nominal values. We can not ignore the uncertainty in input values, as they can affect the asset allocation drastically. So we use Robust Optimization approach to the problems where the input parameters comes under box uncertainty. In this paper, we solve the multi criteria robust problem with the help of  E- constraint method. ER -