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Prikladnaya Diskretnaya Matematika, 2012, Number 4(18), Pages 61–72 (Mi pdm385)  
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'
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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.
Document Type: Article
UDC: 519.8
Language: Russian
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
Citation in format AMSBIB
\Bibitem{EmeKor12}
\by V.~A.~Emelichev, V.~V.~Korotkov
\paper Investigation of the solution stability of vector investment Boolean problem in the case of H\"older metric in a~criteria space
\jour Prikl. Diskr. Mat.
\yr 2012
\issue 4(18)
\pages 61--72
\mathnet{http://mi.mathnet.ru/pdm385}
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  • https://www.mathnet.ru/eng/pdm/y2012/i4/p61
    • This publication is cited in the following 3 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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