Before revision:  We provide explicit solutions for the optimal robust portfolio strategies  in the case of uncertain volatilities and ambiguous correlation between two risky assets , and then derive the robust efficient frontier in closed-form . We obtain a lower bound for the Sharpe ratio of any robust efficient portfolio strategy , and compare the performance of Sharpe ratios for a robust investor and for an investor with a misspecified model.
After revision:  We provide explicit solutions for the optimal robust portfolio strategies in the case of uncertain volatilities and ambiguous correlation between two risky assets , and then derive the robust efficient frontier in closed-form , and obtain a lower bound for the Sharpe ratio of any robust efficient portfolio strategy , and compare the performance of Sharpe ratios for a robust investor and for an investor with a misspecified model.