Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica
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Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, 2011, Number 1, Pages 83–94 (Mi basm282)  
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
Full-text PDF (187 kB) Citations (10)
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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
Bibliographic databases:
Document Type: Article
MSC: 90C09, 90C29, 90C31, 90C47
Language: English
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
Citation in format AMSBIB
\Bibitem{EmeKor11}
\by Vladimir~Emelichev, Vladimir~Korotkov
\paper On stability radius of the multicriteria variant of Markowitz's investment portfolio problem
\jour Bul. Acad. \c Stiin\c te Repub. Mold. Mat.
\yr 2011
\issue 1
\pages 83--94
\mathnet{http://mi.mathnet.ru/basm282}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2849231}
\zmath{https://zbmath.org/?q=an:1244.90205}
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    • This publication is cited in the following 10 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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