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Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, 2014, Number 1, Pages 3–13 (Mi basm349)  
This article is cited in 6 scientific papers (total in 6 papers)

Research articles

On stability of multicriteria investment Boolean problem with Wald's efficiency criteria

Vladimir Emelichev, Vladimir Korotkov

Belarusian State University, av. Nezavisimosti, 4, 220030 Minsk, Belarus
Full-text PDF (148 kB) Citations (6)
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Abstract: Based on Markowitz's portfolio theory we construct the multicriteria Boolean problem with Wald's maximin efficiency criteria and the Pareto-optimality principle. We obtained lower and upper attainable bounds for the stability radius of the problem in the cases of linear metric $l_1$ in the portfolio and the market state spaces and of the Chebyshev metric $l_\infty$ in the criteria space.
Keywords and phrases: multicriteria optimization, investment portfolio, Wald's maximin efficient criteria, Pareto-optimal portfolio, stability radius.
Received: 04.02.2013
Document Type: Article
MSC: 90C09, 90C29, 90C31, 90C47
Language: English
Citation: Vladimir Emelichev, Vladimir Korotkov, “On stability of multicriteria investment Boolean problem with Wald's efficiency criteria”, Bul. Acad. Ştiinţe Repub. Mold. Mat., 2014, no. 1, 3–13
Citation in format AMSBIB
\Bibitem{EmeKor14}
\by Vladimir~Emelichev, Vladimir~Korotkov
\paper On stability of multicriteria investment Boolean problem with Wald's efficiency criteria
\jour Bul. Acad. \c Stiin\c te Repub. Mold. Mat.
\yr 2014
\issue 1
\pages 3--13
\mathnet{http://mi.mathnet.ru/basm349}
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    • This publication is cited in the following 6 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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