On stability of multicriteria investment Boolean problem with Wald’s efficiency criteria
Închide
Conţinutul numărului revistei
Articolul precedent
Articolul urmator
669 3
Ultima descărcare din IBN:
2017-02-26 08:05
Căutarea după subiecte
similare conform CZU
519.6+519.7+519.8 (1)
Matematică computațională. Analiză numerică. Programarea calculatoarelor (109)
Cibernetică matematică (85)
Cercetări operaționale (OR) teorii şi metode matematice (144)
SM ISO690:2012
EMELICHEV, Vladimir; KOROTKOV, Vladimir. On stability of multicriteria investment Boolean problem with Wald’s efficiency criteria. In: Buletinul Academiei de Ştiinţe a Moldovei. Matematica. 2014, nr. 1(74), pp. 3-13. ISSN 1024-7696.
EXPORT metadate:
Google Scholar
Crossref
CERIF

DataCite
Dublin Core
Buletinul Academiei de Ştiinţe a Moldovei. Matematica
Numărul 1(74) / 2014 / ISSN 1024-7696

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

Dublin Core Export

<?xml version='1.0' encoding='utf-8'?>
<oai_dc:dc xmlns:dc='http://purl.org/dc/elements/1.1/' xmlns:oai_dc='http://www.openarchives.org/OAI/2.0/oai_dc/' xmlns:xsi='http://www.w3.org/2001/XMLSchema-instance' xsi:schemaLocation='http://www.openarchives.org/OAI/2.0/oai_dc/ http://www.openarchives.org/OAI/2.0/oai_dc.xsd'>
<dc:creator>Emelichev, V.A.</dc:creator>
<dc:creator>Korotkov, V.</dc:creator>
<dc:date>2014-02-04</dc:date>
<dc:description xml:lang='en'>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.</dc:description>
<dc:source>Buletinul Academiei de Ştiinţe a Moldovei. Matematica 74 (1) 3-13</dc:source>
<dc:subject>multicriteria optimization</dc:subject>
<dc:subject>investment portfolio</dc:subject>
<dc:subject>Wald’s maximin efficient criteria</dc:subject>
<dc:subject>Pareto-optimal portfolio</dc:subject>
<dc:subject>stability radius</dc:subject>
<dc:title>On stability of multicriteria investment Boolean problem with Wald’s efficiency criteria</dc:title>
<dc:type>info:eu-repo/semantics/article</dc:type>
</oai_dc:dc>