Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica
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Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, 2012, Number 1, Pages 59–69 (Mi basm310)  
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
Full-text PDF (137 kB) Citations (4)
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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
Bibliographic databases:
Document Type: Article
MSC: 90C09, 90C29, 90C31, 90C47
Language: English
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
Citation in format AMSBIB
\Bibitem{EmeKor12}
\by Vladimir Emelichev, Vladimir Korotkov
\paper Post-optimal analysis of investment problem with Wald's ordered maximin criteria
\jour Bul. Acad. \c Stiin\c te Repub. Mold. Mat.
\yr 2012
\issue 1
\pages 59--69
\mathnet{http://mi.mathnet.ru/basm310}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2987327}
\zmath{https://zbmath.org/?q=an:06100373}
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    • This publication is cited in the following 4 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica
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