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Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, 2015, номер 1, страницы 13–19
(Mi basm381)
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Stability radius bounds in multicriteria Markowitz portfolio problem with venturesome investor criteria
Vladimir Emelichev, Olga Karelkina Belarusian State University, av. Nezavisimosti, 4, 220030 Minsk, Belarus
Аннотация:
The lower and upper bounds on the stability radius are obtained in multicriteria Boolean Markowitz investment problem with criteria of extreme optimism (MAXMAX) about portfolio return in the case when portfolio and financial market states spaces are endowed with Hölder metric, and criteria space of economical efficiency of investment projects is endowed with Chebyshev metric.
Ключевые слова и фразы:
multicriteria Markowitz problem, Boolean investment problem, stability radius bound, efficiency of investment project.
Поступила в редакцию: 06.10.2014
Образец цитирования:
Vladimir Emelichev, Olga Karelkina, “Stability radius bounds in multicriteria Markowitz portfolio problem with venturesome investor criteria”, Bul. Acad. Ştiinţe Repub. Mold. Mat., 2015, no. 1, 13–19
Образцы ссылок на эту страницу:
https://www.mathnet.ru/rus/basm381 https://www.mathnet.ru/rus/basm/y2015/i1/p13
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Страница аннотации: | 265 | PDF полного текста: | 61 | Список литературы: | 35 |
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