V. A. Emelichev, R. P. Shatsov, “Markowitz investment Boolean problem in case of uncertainty, multicriteria and risk”, Prikl. Diskr. Mat., 2013, no. 2(20), 115

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Prikladnaya Diskretnaya Matematika, 2013, Number 2(20), Pages 115–122 (Mi pdm406)

Discrete Models for Real Processes

Markowitz investment Boolean problem in case of uncertainty, multicriteria and risk

V. A. Emelichev, R. P. Shatsov

Belarusian State University, Minsk, Belarus

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Abstract: Lower and upper bounds are obtained for the stability radius of a Pareto optimal portfolio of multicriteria variant of Markowitz problem with Savage minimax risk criteria in the case of any Hölder metric $l_p$, $1\leq p\leq\infty$, in the portfolio space and Chebyshev metric in the risk and market state spaces.

Keywords: multicriteria investment problem, Pareto optimal portfolio, Savage risk criteria, stability radius of portfolio, Hölder metric.

Document Type: Article

UDC: 519.8

Language: Russian

Citation: V. A. Emelichev, R. P. Shatsov, “Markowitz investment Boolean problem in case of uncertainty, multicriteria and risk”, Prikl. Diskr. Mat., 2013, no. 2(20), 115–122

Citation in format AMSBIB

\Bibitem{EmeSha13}

\by V.~A.~Emelichev, R.~P.~Shatsov

\paper Markowitz investment Boolean problem in case of uncertainty, multicriteria and risk

\jour Prikl. Diskr. Mat.

\yr 2013

\issue 2(20)

\pages 115--122

\mathnet{http://mi.mathnet.ru/pdm406}

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https://www.mathnet.ru/eng/pdm406

https://www.mathnet.ru/eng/pdm/y2013/i2/p115

Citing articles in Google Scholar: Russian citations, English citations
Related articles in Google Scholar: Russian articles, English articles

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Full-text PDF :	83
References:	49
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