An investment problem under multicriteriality, uncertainty and risk
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Matematică computațională. Analiză numerică. Programarea calculatoarelor (110)
Cercetări operaționale (OR) teorii şi metode matematice (144)
SM ISO690:2012
EMELICHEV, Vladimir; BUKHTOYAROV, Sergei; MYCHKOV, Vadim. An investment problem under multicriteriality, uncertainty and risk. In: Buletinul Academiei de Ştiinţe a Moldovei. Matematica. 2016, nr. 3(82), pp. 82-98. ISSN 1024-7696.
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Buletinul Academiei de Ştiinţe a Moldovei. Matematica
Numărul 3(82) / 2016 / ISSN 1024-7696

An investment problem under multicriteriality, uncertainty and risk
CZU: 519.6+519.876
MSC 2010: 90C09, 90C29, 90C31, 90C47

Pag. 82-98

Emelichev Vladimir, Bukhtoyarov Sergei, Mychkov Vadim
 
Belarusian State University
 
Proiect:
INTAS 2004-78-7193 Imaging GaAs X-ray Detectors
 
Disponibil în IBN: 19 aprilie 2017


Rezumat

The strong stability radius of the multicriteria investment Boolean problem with the Savage risk criteria is investigated. The problem is to find the set of Pareto optimal portfolios. Upper and lower bounds of such a radius are derived for the case where different H¨older metrics are defined in the three problem parameters spaces.

Cuvinte-cheie
multicriteria optimization, strong stability radius,

Savage’s risk criteria, set of Pareto optimal portfolios, Holder metric