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<creators>
<creator>
<creatorName>Emelichev, V.A.</creatorName>
<affiliation>Institutul de Matematică şi Informatică al AŞM, Moldova, Republica</affiliation>
</creator>
<creator>
<creatorName>Korotkov, V.</creatorName>
</creator>
</creators>
<titles>
<title xml:lang='en'>On stability radius of the multicriteria variant of Markowitz's investment portfolio problem</title>
</titles>
<publisher>Instrumentul Bibliometric National</publisher>
<publicationYear>2011</publicationYear>
<relatedIdentifier relatedIdentifierType='ISSN' relationType='IsPartOf'>1024-7696</relatedIdentifier>
<subjects>
<subject>multicriteria optimization</subject>
<subject>investment portfolio</subject>
<subject>Marko-
witz's problem</subject>
<subject>Pareto set</subject>
<subject>eficient portfolio</subject>
</subjects>
<dates>
<date dateType='Issued'>2011-04-01</date>
</dates>
<resourceType resourceTypeGeneral='Text'>Journal article</resourceType>
<descriptions>
<description xml:lang='en' descriptionType='Abstract'>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.</description>
</descriptions>
<formats>
<format>application/pdf</format>
</formats>
</resource>