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 SM ISO690:2012EMELICHEV, Vladimir, KOROTKOV, Vladimir. On stability radius of the multicriteria variant of Markowitz's investment portfolio problem. In: Buletinul Academiei de Ştiinţe a Moldovei. Matematica, 2011, nr. 1(65), pp. 83-94. ISSN 1024-7696. |
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| Buletinul Academiei de Ştiinţe a Moldovei. Matematica | |||||
| Numărul 1(65) / 2011 / ISSN 1024-7696 | |||||
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| Pag. 83-94 | |||||
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Basing on Markowitz's classical theory we formulate a multicriteria Boolean portfolio optimization problem with Savage's minimax (bottleneck) risk crite-
ria. We obtain lower and upper attainable bounds for stability radius of the problem
of ¯nding the Pareto set, consisting of e±cient portfolios in the case of Chebyshev
metric l1 in the risk and state spaces, and linear metric l1 in the portfolios space. |
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| Cuvinte-cheie multicriteria optimization, Pareto set, investment portfolio, Marko- witz's problem, eficient portfolio |
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