Consider $U_1(\mu,\Sigma)$ and $U_2(\mu,\Sigma)$, where $U_1(\mu, \cdot) = U_2(\mu, \cdot)$, $U_1(\cdot, \Sigma) = U_2(\cdot, \Sigma)$ such that
\begin{equation*} arg\inf\limits_{\mu \in U_1(\mu, \cdot), \Sigma \in U_1(\cdot, \Sigma)} \left(w^T \mu – \alpha w^T \Sigma w \right) \equiv arg\inf\limits_{\mu \in U_2(\mu, \cdot), \Sigma \in U_2(\cdot, \Sigma)} \left(w^T \mu – \alpha w^T \Sigma w\right) \end{equation*}
Solutions for inner problems are the same
$(\mu, \Sigma)$ from $U_1$ are positively related ($\Sigma \uparrow$ as $\mu \uparrow \Rightarrow$ positively skewed)
$(\mu, \Sigma)$ from $U_2$ are negatively related ($\Sigma \downarrow$ as $\mu \uparrow \Rightarrow$ negatively skewed)
Solutions for inner problem: low $\mu$, high $\Sigma$
\begin{equation} arg\inf\limits_{(\mu, \Sigma) \in U_1(\mu, \Sigma)} \left(w^T \mu – \alpha w^T \Sigma w \right) \geq arg\inf\limits_{(\mu, \Sigma) \in U_2(\mu, \Sigma)} \left(w^T \mu – \alpha w^T \Sigma w \right) \quad (1) \end{equation}
$\Rightarrow$ negative skewness is penalized by linking $U(\mu)$ and $U(\Sigma)$.
$\begin{align} \max\limits_w \left(w^T \mu – \alpha w^T \Sigma w\right) &\geq \max\limits_w\inf\limits_{(\mu, \Sigma) \in U(\mu, \Sigma)} \left(w^T \mu – \alpha w^T \Sigma w\right)\\ &\geq \max\limits_w\inf\limits_{\mu \in U(\mu), \Sigma \in U(\Sigma)} \left(w^T \mu – \alpha w^T \Sigma w\right)\quad (2) \end{align}$
Can anyone help me in proving the equation 1 and 2? here the uncertain set for mu(mean) could be ellipsoid and will change the problem in second order conic problem ......and the uncertain set for the sigma(variance matrix) could be a rectangular box which will change the problem in semi definite programming problem.also we can choose some others as i mention in the comments.