<?xml version='1.0' encoding='utf-8'?>
<oai_dc:dc xmlns:dc='http://purl.org/dc/elements/1.1/' xmlns:oai_dc='http://www.openarchives.org/OAI/2.0/oai_dc/' xmlns:xsi='http://www.w3.org/2001/XMLSchema-instance' xsi:schemaLocation='http://www.openarchives.org/OAI/2.0/oai_dc/ http://www.openarchives.org/OAI/2.0/oai_dc.xsd'>
<dc:creator>Emelichev, V.A.</dc:creator>
<dc:creator>Korotkov, V.</dc:creator>
<dc:date>2011-04-01</dc:date>
<dc:description xml:lang='en'>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.</dc:description>
<dc:source>Buletinul Academiei de Ştiinţe a Moldovei. Matematica 65 (1) 83-94</dc:source>
<dc:subject>multicriteria optimization</dc:subject>
<dc:subject>investment portfolio</dc:subject>
<dc:subject>Marko-
witz's problem</dc:subject>
<dc:subject>Pareto set</dc:subject>
<dc:subject>eficient portfolio</dc:subject>
<dc:title>On stability radius of the multicriteria variant of Markowitz's investment portfolio problem</dc:title>
<dc:type>info:eu-repo/semantics/article</dc:type>
</oai_dc:dc>