Strong stability for multiobjective investment problem with perturbed minimax risks of different types and parameterized optimality
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EMELICHEV, Vladimir, NIKULIN, Yury. Strong stability for multiobjective investment problem with perturbed minimax risks of different types and parameterized optimality. In: Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, 2021, nr. 3(97), pp. 36-49. ISSN 1024-7696.
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Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica
Numărul 3(97) / 2021 / ISSN 1024-7696 /ISSNe 2587-4322

Strong stability for multiobjective investment problem with perturbed minimax risks of different types and parameterized optimality

CZU: 519.86
MSC 2010: 90C10, 90C29.

Pag. 36-49

Emelichev Vladimir1, Nikulin Yury2
 
1 Belarusian State University,
2 University of Turku
 
 
Disponibil în IBN: 13 octombrie 2022


Rezumat

A multicriteria investment Boolean problem of minimizing lost profits with parameterized efficiency and different types of risks is formulated. The lower and upper bounds on the radius of the strong stability of efficient portfolios are obtained. Several earlier known results regarding strong stability of Pareto efficient and extreme portfolios are confirmed

Cuvinte-cheie
Multiobjective problem, Investment, Pareto set, a set of extreme solutions, strong stability, H¨older’s norms