•We propose two multi-period robust risk measures under regime switching frame-work. •Regime-dependent dynamic uncertainty sets reflect the ambiguity of random process. •Time varying uncertainty sets with moments uncertainty are considered. •Proposed multi-period robust portfolio selection problems can be efficiently solved. •Empirical results show the superiority and practicality of regime-dependent models.
European Journal of Operational Research – Elsevier
Published: Jul 1, 2018
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