Post-optimal analysis of investment problem with Wald’s ordered maximin criteria
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2021-10-11 10:14
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EMELICHEV, Vladimir; KOROTKOV, Vladimir. Post-optimal analysis of investment problem with Wald’s ordered maximin criteria. In: Buletinul Academiei de Ştiinţe a Moldovei. Matematica. 2012, nr. 1(68), pp. 59-69. ISSN 1024-7696.
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Buletinul Academiei de Ştiinţe a Moldovei. Matematica
Numărul 1(68) / 2012 / ISSN 1024-7696

Post-optimal analysis of investment problem with Wald’s ordered maximin criteria

Pag. 59-69

Emelichev Vladimir, Korotkov Vladimir
 
 
Disponibil în IBN: 6 decembrie 2013


Rezumat

We consider Markowitz’s multicriteria portfolio optimization problem withWald’s ordered maximin criteria. We obtained lower and upper attainable bounds of the stability radius of lexicographically optimal portfolio.

Cuvinte-cheie
multicriteria optimization, stability radius,

investment portfolio, Wald’s maximin efficient criteria, lexicographically optimal portfolio