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| Ultima descărcare din IBN: 2021-03-16 22:52 |
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| 004.023+512.5+519.1+519.6 (1) |
| Computer science and technology. Computing. Data processing (4156) |
| Algebra (400) |
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 SM ISO690:2012EMELICHEV, Vladimir, NIKULIN, Yury, KOROTKOV, Vladimir. Stability Analysis of Efficient Portfolios in a Discrete Variant of Multicriteria Investment Problem with Savage’s Risk Criteria. In: Computer Science Journal of Moldova, 2017, nr. 3(75), pp. 303-328. ISSN 1561-4042. |
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 Computer Science Journal of Moldova |
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| Numărul 3(75) / 2017 / ISSN 1561-4042 /ISSNe 2587-4330 | ||||||
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| CZU: 004.023+512.5+519.1+519.6 | ||||||
| Pag. 303-328 | ||||||
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We consider a multicriteria discrete variant of investment portfolio optimization problem with Savage’s risk criteria. Three combinations of norms in problem parameter spaces are considered. In each combination, one of the three spaces is endowed with Holder’s norm, and the other two spaces are endowed with Chebyshev’s norm. The lower and upper attainable bounds on the stability radius of one Pareto optimal portfolio are obtained. |
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| Cuvinte-cheie Multicriteria problem, stability radius, Pareto optimal portfolio, Savage’s risk criteria, Holder’s norms |
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