On stability of multicriteria investment Boolean problem with Wald’s efficiency criteria
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519.6+519.7+519.8 (1)
Computational mathematics. Numerical analysis (109)
Mathematical cybernetics (85)
Operational research (OR): mathematical theories and methods (144)
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EMELICHEV, Vladimir; KOROTKOV, Vladimir. On stability of multicriteria investment Boolean problem with Wald’s efficiency criteria. In: Buletinul Academiei de Ştiinţe a Moldovei. Matematica. 2014, nr. 1(74), pp. 3-13. ISSN 1024-7696.
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Buletinul Academiei de Ştiinţe a Moldovei. Matematica
Numărul 1(74) / 2014 / ISSN 1024-7696

On stability of multicriteria investment Boolean problem with Wald’s efficiency criteria
CZU: 519.6+519.7+519.8

Pag. 3-13

Emelichev Vladimir, Korotkov Vladimir
 
Belarusian State University
 
Disponibil în IBN: 18 iunie 2014


Rezumat

Based on Markowitz’s portfolio theory we construct the multicriteria Boolean problem with Wald’s maximin efficiency criteria and the Pareto-optimality principle. We obtained lower and upper attainable bounds for the stability radius of the problem in the cases of linear metric l1 in the portfolio and the market state spaces and of the Chebyshev metric l∞ in the criteria space.

Cuvinte-cheie
multicriteria optimization, stability radius,

investment portfolio, Wald’s maximin efficient criteria, Pareto-optimal portfolio