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Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, 2011, Number 1, Pages 83–94
(Mi basm282)
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This article is cited in 10 scientific papers (total in 10 papers)
Research articles
On stability radius of the multicriteria variant of Markowitz's investment portfolio problem
Vladimir Emelichev, Vladimir Korotkov Belarusian State University, Minsk, Belarus
Abstract:
Basing on Markowitz's classical theory we formulate a multicriteria Boolean portfolio optimization problem with Savage's minimax (bottleneck) risk criteria. We obtain lower and upper attainable bounds for stability radius of the problem of finding the Pareto set, consisting of efficient portfolios in the case of Chebyshev metric $l_\infty$ in the risk and state spaces, and linear metric $l_1$ in the portfolios space.
Keywords and phrases:
multicriteria optimization, investment portfolio, Markowitz's problem, Pareto set, efficient portfolio, Savage's risk criteria, bottleneck criteria, stability radius of the problem.
Received: 10.01.2011
Citation:
Vladimir Emelichev, Vladimir Korotkov, “On stability radius of the multicriteria variant of Markowitz's investment portfolio problem”, Bul. Acad. Ştiinţe Repub. Mold. Mat., 2011, no. 1, 83–94
Linking options:
https://www.mathnet.ru/eng/basm282 https://www.mathnet.ru/eng/basm/y2011/i1/p83
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Abstract page: | 413 | Full-text PDF : | 81 | References: | 40 | First page: | 1 |
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