Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica
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Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, 2010, Number 3, Pages 35–44 (Mi basm268)  
This article is cited in 7 scientific papers (total in 7 papers)

Research articles

On stability of Pareto-optimal solution of portfolio optimization problem with Savage's minimax risk criteria

Vladimir Emelichev, Vladimir Korotkov, Kirill Kuzmin

Belarusian State University, Minsk, Belarus
Full-text PDF (132 kB) Citations (7)
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Abstract: A multicriteria Boolean optimization problem consisting in an efficient choice of a Pareto-optimal portfolio of investor's assets that uses the Savage's minimax risk criteria is considered. Upper and lower attainable bounds of the stability radius of such portfolio with regard to independent changes of elements of a risk matrix are obtained.
Keywords and phrases: portfolio optimization, Savage's minimax risk criteria, Pareto-optimal portfolio, stability radius.
Received: 30.04.2010
Bibliographic databases:
Document Type: Article
MSC: 90C09, 90C29, 90C31, 90C47
Language: English
Citation: Vladimir Emelichev, Vladimir Korotkov, Kirill Kuzmin, “On stability of Pareto-optimal solution of portfolio optimization problem with Savage's minimax risk criteria”, Bul. Acad. Ştiinţe Repub. Mold. Mat., 2010, no. 3, 35–44
Citation in format AMSBIB
\Bibitem{EmeKorKuz10}
\by Vladimir~Emelichev, Vladimir~Korotkov, Kirill~Kuzmin
\paper On stability of Pareto-optimal solution of portfolio optimization problem with Savage's minimax risk criteria
\jour Bul. Acad. \c Stiin\c te Repub. Mold. Mat.
\yr 2010
\issue 3
\pages 35--44
\mathnet{http://mi.mathnet.ru/basm268}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2791975}
\zmath{https://zbmath.org/?q=an:1242.90105}
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    • This publication is cited in the following 7 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica
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