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Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, 2010, Number 3, Pages 35–44
(Mi basm268)
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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
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
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
Linking options:
https://www.mathnet.ru/eng/basm268 https://www.mathnet.ru/eng/basm/y2010/i3/p35
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Abstract page: | 497 | Full-text PDF : | 74 | References: | 54 | First page: | 1 |
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