Robust optimization of the 0-1 knapsack problem: Balancing risk and return in assortment optimization.

•Demand for products in retail assortments is stochastic.•Our robust retail assortment optimization problem balances risk and return.•We propose a novel and efficient heuristic to solve the robust assortment problem.•The heuristic provides solutions in a matter of seconds.•The solutions offer substantial risk reduction, yet only small reductions in return.