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Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, 2016, Number 3, Pages 82–98
(Mi basm429)
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This article is cited in 3 scientific papers (total in 3 papers)
Research articles
An investment problem under multicriteriality, uncertainty and risk
Vladimir Emelichev, Sergey Bukhtoyarov, Vadzim Mychkov Belarusian State University, av. Nezavisimosti, 4, 220030 Minsk, Belarus
Abstract:
The strong stability radius of the multicriteria investment Boolean problem with the Savage risk criteria is investigated. The problem is to find the set of Pareto optimal portfolios. Upper and lower bounds of such a radius are derived for the case where different Hölder metrics are defined in the three problem parameters spaces.
Keywords and phrases:
multicriteria optimization, Savage's risk criteria, set of Pareto optimal portfolios, strong stability radius, Hölder metric.
Received: 10.01.2016
Citation:
Vladimir Emelichev, Sergey Bukhtoyarov, Vadzim Mychkov, “An investment problem under multicriteriality, uncertainty and risk”, Bul. Acad. Ştiinţe Repub. Mold. Mat., 2016, no. 3, 82–98
Linking options:
https://www.mathnet.ru/eng/basm429 https://www.mathnet.ru/eng/basm/y2016/i3/p82
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Abstract page: | 208 | Full-text PDF : | 37 | References: | 46 |
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