Pınar, M. Ç.Tütüncü, R. H.2016-02-082016-02-0820050167-6377http://hdl.handle.net/11693/24031For risky financial securities with given expected return vector and covariance matrix, we propose the concept of a robust profit opportunity in single- and multiple-period settings. We show that the problem of finding the "most robust" profit opportunity can be solved as a convex quadratic programming problem, and investigate its relation to the Sharpe ratio.EnglishFinancial securitiesArbitrageRobust optimizationSharpe ratioArticle10.1016/j.orl.2004.08.0051872-7468