 While formula_11 has been obtained by looking at formula_2 possible market states only, the scenario theory tells us that the solution is robust up to a level formula_14, that is, the return formula_11 will be achieved with probability formula_16 for other market states.In quantitative finance, the worst-case approach can be overconservative.One alternative is to discard some odd situations to reduce pessimism; moreover, scenario optimization can be applied to other risk-measures including CVaR – Conditional Value at Risk – so adding to the flexibility of its use.