Vestnik of Astrakhan State Technical University. Series: Management, Computer Sciences and Informatics
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Vestnik of Astrakhan State Technical University. Series: Management, Computer Sciences and Informatics, 2013, Number 2, Pages 112–120 (Mi vagtu279)  

SOCIAL AND ECONOMIC SYSTEMS MANAGEMENT

Stability of the discrete problems under uncertainty: problem of formation of a financial investment portfolio

Yu. S. Belotserkovskaya

Gubkin Russian State University of Oil and Gas
References:
Abstract: The well-known problem with interval weight function is considered as a mathematical model of the optimization problem of the financial investment portfolio for practical use in the economy. Two objective functions are introduced as the main performance indicators: the value of the expected profit and the risk value. The expected profit of investment objects is defined as an interval. Two types of disturbance of initial data such as interval addition of the initial disturbance weight and simultaneous perturbation interval boundaries, which cannot derive the original problem from the class of interval problems, are introduced. For each type of disturbance quantitative characteristics of stability as a stability radius that means, for example, an assessment of inflation, are obtained.
Keywords: Pareto set, financial investment portfolio, objective function, Pareto optimum, vector objective function, interval weight function, perturbation set, interval problem, radius of the stability.
Received: 01.06.2013
Revised: 20.06.2013
Document Type: Article
UDC: 336.76:004.382
BBC: 65.263.12с515
Language: Russian
Citation: Yu. S. Belotserkovskaya, “Stability of the discrete problems under uncertainty: problem of formation of a financial investment portfolio”, Vestn. Astrakhan State Technical Univ. Ser. Management, Computer Sciences and Informatics, 2013, no. 2, 112–120
Citation in format AMSBIB
\Bibitem{Bel13}
\by Yu.~S.~Belotserkovskaya
\paper Stability of the discrete problems under uncertainty: problem of formation of a financial investment portfolio
\jour Vestn. Astrakhan State Technical Univ. Ser. Management, Computer Sciences and Informatics
\yr 2013
\issue 2
\pages 112--120
\mathnet{http://mi.mathnet.ru/vagtu279}
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    Вестник Астраханского государственного технического университета. Серия: Управление, вычислительная техника и информатика
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