On stability of multicriteria investment Boolean problem with Wald’s efficiency criteria
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Matematică computațională. Analiză numerică. Programarea calculatoarelor (123)
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EMELICHEV, Vladimir, KOROTKOV, Vladimir. On stability of multicriteria investment Boolean problem with Wald’s efficiency criteria. In: Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, 2014, nr. 1(74), pp. 3-13. ISSN 1024-7696.
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Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica
Numărul 1(74) / 2014 / ISSN 1024-7696 /ISSNe 2587-4322

On stability of multicriteria investment Boolean problem with Wald’s efficiency criteria
CZU: 519.6+519.7+519.8

Pag. 3-13

Emelichev Vladimir, Korotkov Vladimir
 
Belarusian State University
 
Disponibil în IBN: 18 iunie 2014


Rezumat

Based on Markowitz’s portfolio theory we construct the multicriteria Boolean problem with Wald’s maximin efficiency criteria and the Pareto-optimality principle. We obtained lower and upper attainable bounds for the stability radius of the problem in the cases of linear metric l1 in the portfolio and the market state spaces and of the Chebyshev metric l∞ in the criteria space.

Cuvinte-cheie
multicriteria optimization, stability radius,

investment portfolio, Wald’s maximin efficient criteria, Pareto-optimal portfolio

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