Stability analysis of Pareto optimal portfolio of multicriteria investment maximin problem in the HÄolder metric
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EMELICHEV, Vladimir; KOROTKOV, Vladimir. Stability analysis of Pareto optimal portfolio of multicriteria investment maximin problem in the HÄolder metric. In: Buletinul Academiei de Ştiinţe a Moldovei. Matematica. 2012, nr. 3(70), pp. 63-71. ISSN 1024-7696.
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Buletinul Academiei de Ştiinţe a Moldovei. Matematica
Numărul 3(70) / 2012 / ISSN 1024-7696

Stability analysis of Pareto optimal portfolio of multicriteria investment maximin problem in the HÄolder metric

Pag. 63-71

Emelichev Vladimir, Korotkov Vladimir
 
Belarusian State University
 
Disponibil în IBN: 6 decembrie 2013


Rezumat

We analyzed the stability of a Pareto-optimal portfolio of the multicriteria discrete variant of Markowitz's investment problem with Wald's maximin efficiency criteria. We obtained lower and upper bounds for the stability radius of such portfolio in the case of the HÄolder metric lp, 1 · p · 1, in the three-dimensional space of problem parameters. We also show the attainability of bounds in particular cases.

Cuvinte-cheie
multicriteria optimization,

investment portfolio, Wald's maximin eficiency criteria