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Вычислительная математика. Численный анализ (123) |
Исследование операций (169) |
SM ISO690:2012 EMELICHEV, Vladimir, BUKHTOYAROV, Sergei, MYCHKOV, Vadim. An investment problem under multicriteriality, uncertainty and risk. In: Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, 2016, nr. 3(82), pp. 82-98. ISSN 1024-7696. |
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Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica | ||||||
Numărul 3(82) / 2016 / ISSN 1024-7696 /ISSNe 2587-4322 | ||||||
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CZU: 519.6+519.876 | ||||||
MSC 2010: 90C09, 90C29, 90C31, 90C47 | ||||||
Pag. 82-98 | ||||||
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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. |
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Cuvinte-cheie multicriteria optimization, strong stability radius, Savage’s risk criteria, set of Pareto optimal portfolios, Holder metric |
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