On stability radius of the multicriteria variant of Markowitz's investment portfolio problem

Emelichev Vladimir; Korotkov Vladimir

Conţinutul numărului revistei

Articolul precedent

Articolul urmator

962

Ultima descărcare din IBN:
2023-06-28 15:04

SM ISO690:2012

EMELICHEV, Vladimir, KOROTKOV, Vladimir. On stability radius of the multicriteria variant of Markowitz's investment portfolio problem. In: Buletinul Academiei de Ştiinţe a Moldovei. Matematica, 2011, nr. 1(65), pp. 83-94. ISSN 1024-7696.

EXPORT metadate:
Google Scholar
Crossref
CERIF

DataCite
Dublin Core

Buletinul Academiei de Ştiinţe a Moldovei. Matematica

Numărul 1(65) / 2011 / ISSN 1024-7696

On stability radius of the multicriteria variant of Markowitz's investment portfolio problem

Pag. 83-94

Emelichev Vladimir, Korotkov Vladimir

Institute of Mathematics and Computer Science ASM

Disponibil în IBN: 6 decembrie 2013

Descarcă PDF

Rezumat

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.

Cuvinte-cheie
multicriteria optimization, Pareto set,

investment portfolio, Marko- witz's problem, eficient portfolio

Cerif XML Export

<?xml version='1.0' encoding='utf-8'?>
<CERIF xmlns='urn:xmlns:org:eurocris:cerif-1.5-1' xsi:schemaLocation='urn:xmlns:org:eurocris:cerif-1.5-1 http://www.eurocris.org/Uploads/Web%20pages/CERIF-1.5/CERIF_1.5_1.xsd' xmlns:xsi='http://www.w3.org/2001/XMLSchema-instance' release='1.5' date='2012-10-07' sourceDatabase='Output Profile'>
<cfResPubl>
<cfResPublId>ibn-ResPubl-9128</cfResPublId>
<cfResPublDate>2011-04-01</cfResPublDate>
<cfVol>65</cfVol>
<cfIssue>1</cfIssue>
<cfStartPage>83</cfStartPage>
<cfISSN>1024-7696</cfISSN>
<cfURI>https://ibn.idsi.md/ro/vizualizare_articol/9128</cfURI>
<cfTitle cfLangCode='EN' cfTrans='o'>On stability radius of the multicriteria variant of Markowitz's investment portfolio problem</cfTitle>
<cfKeyw cfLangCode='EN' cfTrans='o'>multicriteria optimization; investment portfolio; Marko-
witz's problem; Pareto set; eficient portfolio</cfKeyw>
<cfAbstr cfLangCode='EN' cfTrans='o'>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.</cfAbstr>
<cfResPubl_Class>
<cfClassId>eda2d9e9-34c5-11e1-b86c-0800200c9a66</cfClassId>
<cfClassSchemeId>759af938-34ae-11e1-b86c-0800200c9a66</cfClassSchemeId>
<cfStartDate>2011-04-01T24:00:00</cfStartDate>
</cfResPubl_Class>
<cfResPubl_Class>
<cfClassId>e601872f-4b7e-4d88-929f-7df027b226c9</cfClassId>
<cfClassSchemeId>40e90e2f-446d-460a-98e5-5dce57550c48</cfClassSchemeId>
<cfStartDate>2011-04-01T24:00:00</cfStartDate>
</cfResPubl_Class>
<cfPers_ResPubl>
<cfPersId>ibn-person-29436</cfPersId>
<cfClassId>49815870-1cfe-11e1-8bc2-0800200c9a66</cfClassId>
<cfClassSchemeId>b7135ad0-1d00-11e1-8bc2-0800200c9a66</cfClassSchemeId>
<cfStartDate>2011-04-01T24:00:00</cfStartDate>
</cfPers_ResPubl>
<cfPers_ResPubl>
<cfPersId>ibn-person-33418</cfPersId>
<cfClassId>49815870-1cfe-11e1-8bc2-0800200c9a66</cfClassId>
<cfClassSchemeId>b7135ad0-1d00-11e1-8bc2-0800200c9a66</cfClassSchemeId>
<cfStartDate>2011-04-01T24:00:00</cfStartDate>
</cfPers_ResPubl>
</cfResPubl>
<cfPers>
<cfPersId>ibn-Pers-29436</cfPersId>
<cfPersName_Pers>
<cfPersNameId>ibn-PersName-29436-3</cfPersNameId>
<cfClassId>55f90543-d631-42eb-8d47-d8d9266cbb26</cfClassId>
<cfClassSchemeId>7375609d-cfa6-45ce-a803-75de69abe21f</cfClassSchemeId>
<cfStartDate>2011-04-01T24:00:00</cfStartDate>
<cfFamilyNames>Emelichev</cfFamilyNames>
<cfFirstNames>Vladimir</cfFirstNames>
</cfPersName_Pers>
</cfPers>
<cfPers>
<cfPersId>ibn-Pers-33418</cfPersId>
<cfPersName_Pers>
<cfPersNameId>ibn-PersName-33418-3</cfPersNameId>
<cfClassId>55f90543-d631-42eb-8d47-d8d9266cbb26</cfClassId>
<cfClassSchemeId>7375609d-cfa6-45ce-a803-75de69abe21f</cfClassSchemeId>
<cfStartDate>2011-04-01T24:00:00</cfStartDate>
<cfFamilyNames>Korotkov</cfFamilyNames>
<cfFirstNames>Vladimir</cfFirstNames>
</cfPersName_Pers>
</cfPers>
</CERIF>