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Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, 2014, Number 1, Pages 3–13
(Mi basm349)
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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
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
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
Linking options:
https://www.mathnet.ru/eng/basm349 https://www.mathnet.ru/eng/basm/y2014/i1/p3
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Abstract page: | 348 | Full-text PDF : | 63 | References: | 44 |
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