Post-optimal analysis of investment problem with Wald’s ordered maximin criteria
Закрыть
Conţinutul numărului revistei
Articolul precedent
Articolul urmator
911 1
Ultima descărcare din IBN:
2021-10-11 10:14
SM ISO690:2012
EMELICHEV, Vladimir, KOROTKOV, Vladimir. Post-optimal analysis of investment problem with Wald’s ordered maximin criteria. In: Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, 2012, nr. 1(68), pp. 59-69. ISSN 1024-7696.
EXPORT metadate:
Google Scholar
Crossref
CERIF

DataCite
Dublin Core
Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica
Numărul 1(68) / 2012 / ISSN 1024-7696 /ISSNe 2587-4322

Post-optimal analysis of investment problem with Wald’s ordered maximin criteria

Pag. 59-69

Emelichev Vladimir, Korotkov Vladimir
 
 
Disponibil în IBN: 6 decembrie 2013


Rezumat

We consider Markowitz’s multicriteria portfolio optimization problem withWald’s ordered maximin criteria. We obtained lower and upper attainable bounds of the stability radius of lexicographically optimal portfolio.

Cuvinte-cheie
multicriteria optimization, stability radius,

investment portfolio, Wald’s maximin efficient criteria, lexicographically optimal portfolio