Stability radius bounds in multicriteria Markowitz portfolio problem with venturesome investor criteria
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Differential equations. Integral equations. Other functional equations. Finite differences. Calculus of variations. Functional analysis (241)
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EMELICHEV, Vladimir, KARELKINA, Olga. Stability radius bounds in multicriteria Markowitz portfolio problem with venturesome investor criteria . In: Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, 2015, nr. 1(77), pp. 13-19. ISSN 1024-7696.
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Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica
Numărul 1(77) / 2015 / ISSN 1024-7696 /ISSNe 2587-4322

Stability radius bounds in multicriteria Markowitz portfolio problem with venturesome investor criteria
CZU: 517.9+519.217

Pag. 13-19

Emelichev Vladimir, Karelkina Olga
 
Belarusian State University
 
Disponibil în IBN: 28 iulie 2015


Rezumat

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 H¨older metric, and criteria space of economical efficiency of investment projects is endowed with Chebyshev metric.

Cuvinte-cheie
Multicriteria Markowitz problem, Boolean investment problem, stability radius bound, efficiency of investment project.