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 SM ISO690:2012EMELICHEV, Vladimir, KOROTKOV, Vladimir. Stability analysis of Pareto optimal portfolio of multicriteria investment maximin problem in the HÄolder metric. In: Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, 2012, nr. 3(70), pp. 63-71. ISSN 1024-7696. |
| EXPORT metadate: Google Scholar Crossref CERIF DataCite Dublin Core |
 Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica |
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| Numărul 3(70) / 2012 / ISSN 1024-7696 /ISSNe 2587-4322 | ||||||
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| Pag. 63-71 | ||||||
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We analyzed the stability of a Pareto-optimal portfolio of the multicriteria discrete variant of Markowitz's investment problem with Wald's maximin efficiency criteria. We obtained lower and upper bounds for the stability radius of such portfolio in the case of the HÄolder metric lp, 1 · p · 1, in the three-dimensional space of problem parameters. We also show the attainability of bounds in particular cases. |
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| Cuvinte-cheie multicriteria optimization, investment portfolio, Wald's maximin eficiency criteria |
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