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Prikladnaya Diskretnaya Matematika, 2012, Number 4(18), Pages 61–72
(Mi pdm385)
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This article is cited in 3 scientific papers (total in 3 papers)
Discrete Models for Real Processes
Investigation of the solution stability of vector investment Boolean problem in the case of Hölder metric in a criteria space
V. A. Emelichev, V. V. Korotkov Belarusian State University, Minsk, Belarus'
Abstract:
The stability of a Pareto-optimal portfolio in the multicriteria discrete variant of Markowitz's investment problem with the Wald's maximin efficiency criteria is analysed. The lower and upper bounds for the stability radius of such a portfolio are obtained in the case of the Hölder metric $l_p$, $1\leq p\leq\infty$, in the criteria space of the problem parameters.
Keywords:
vector investment problem, Pareto-optimal investment portfolio, Wald's efficiency criteria, stability radius of portfolio, the Hölder metric.
Citation:
V. A. Emelichev, V. V. Korotkov, “Investigation of the solution stability of vector investment Boolean problem in the case of Hölder metric in a criteria space”, Prikl. Diskr. Mat., 2012, no. 4(18), 61–72
Linking options:
https://www.mathnet.ru/eng/pdm385 https://www.mathnet.ru/eng/pdm/y2012/i4/p61
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Abstract page: | 241 | Full-text PDF : | 58 | References: | 44 | First page: | 1 |
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