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Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, 2012, Number 1, Pages 59–69
(Mi basm310)
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This article is cited in 4 scientific papers (total in 4 papers)
Post-optimal analysis of investment problem with Wald's ordered maximin criteria
Vladimir Emelichev, Vladimir Korotkov Belarusian State University, Minsk, Belarus
Abstract:
We consider Markowitz's multicriteria portfolio optimization problem with Wald's ordered maximin criteria. We obtained lower and upper attainable bounds of the stability radius of lexicographically optimal portfolio.
Keywords and phrases:
multicriteria optimization, investment portfolio, Wald's maximin efficient criteria, lexicographically optimal portfolio, stability radius.
Received: 31.10.2012
Citation:
Vladimir Emelichev, Vladimir Korotkov, “Post-optimal analysis of investment problem with Wald's ordered maximin criteria”, Bul. Acad. Ştiinţe Repub. Mold. Mat., 2012, no. 1, 59–69
Linking options:
https://www.mathnet.ru/eng/basm310 https://www.mathnet.ru/eng/basm/y2012/i1/p59
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Abstract page: | 337 | Full-text PDF : | 51 | References: | 41 | First page: | 1 |
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