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Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, 2012, Number 3, Pages 63–71 (Mi basm324)  
This article is cited in 1 scientific paper (total in 1 paper)

Stability analysis of Pareto optimal portfolio of multicriteria investment maximin problem in the Hölder metric

Vladimir Emelichev, Vladimir Korotkov

Belarusian State University, av. Nezavisimosti, 4, 220030, Minsk, Belarus
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Abstract: We analyzed the stability of a Pareto-optimal portfolio of the multicriteria discrete variant of Markowitz's investment problem with Wald's maximin efficiency criteria. We obtained lower and upper bounds for the stability radius of such portfolio in the case of the Hölder metric $l_p$, $1\leq p\leq\infty$, in the three-dimensional space of problem parameters. We also show the attainability of bounds in particular cases.
Keywords and phrases: multicriteria optimization, investment portfolio, Wald's maximin efficiency criteria, Pareto-optimal portfolio, stability radius.
Received: 25.07.2012
Bibliographic databases:
Document Type: Article
MSC: 90C09, 90C29, 90C31, 90C47
Language: English
Citation: Vladimir Emelichev, Vladimir Korotkov, “Stability analysis of Pareto optimal portfolio of multicriteria investment maximin problem in the Hölder metric”, Bul. Acad. Ştiinţe Repub. Mold. Mat., 2012, no. 3, 63–71
Citation in format AMSBIB
\Bibitem{EmeKor12}
\by Vladimir~Emelichev, Vladimir~Korotkov
\paper Stability analysis of Pareto optimal portfolio of multicriteria investment maximin problem in the H\"older metric
\jour Bul. Acad. \c Stiin\c te Repub. Mold. Mat.
\yr 2012
\issue 3
\pages 63--71
\mathnet{http://mi.mathnet.ru/basm324}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=3155844}
\zmath{https://zbmath.org/?q=an:1305.90301}
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    • This publication is cited in the following 1 articles:
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