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 SM ISO690:2012EMELICHEV, Vladimir, KOROTKOV, Vladimir, KUZMIN, Kiril. On stability of Pareto-optimal solution of portfolio optimization problem with Savage’s minimax risk criteria. In: Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, 2010, nr. 3(64), pp. 35-44. ISSN 1024-7696. |
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| Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica | ||||||
| Numărul 3(64) / 2010 / ISSN 1024-7696 /ISSNe 2587-4322 | ||||||
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| Pag. 35-44 | ||||||
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| Rezumat | ||||||
A multicriteria Boolean optimization problem consisting in an efficient choice of a Pareto-optimal portfolio of investor’s assets that uses the Savage’s minimax
risk criteria is considered. Upper and lower attainable bounds of the stability radius
of such portfolio with regard to independent changes of elements of a risk matrix are
obtained. |
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| Cuvinte-cheie Portfolio optimization, Savage’s minimax risk criteria, Pareto-optimal portfolio, stability radius |
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