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| Ultima descărcare din IBN: 2023-06-28 15:04 |
 SM ISO690:2012EMELICHEV, Vladimir, KOROTKOV, Vladimir. On stability radius of the multicriteria variant of Markowitz's investment portfolio problem. In: Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, 2011, nr. 1(65), pp. 83-94. ISSN 1024-7696. |
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 Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica |
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| Numărul 1(65) / 2011 / ISSN 1024-7696 /ISSNe 2587-4322 | ||||||
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| Pag. 83-94 | ||||||
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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. |
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| Cuvinte-cheie multicriteria optimization, Pareto set, investment portfolio, Marko- witz's problem, eficient portfolio |
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<meta name="citation_title" content="On stability radius of the multicriteria variant of Markowitz's investment portfolio problem"> <meta name="citation_author" content="Emelichev Vladimir"> <meta name="citation_author" content="Korotkov Vladimir"> <meta name="citation_publication_date" content="2011/04/01"> <meta name="citation_journal_title" content="Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica"> <meta name="citation_volume" content="65"> <meta name="citation_issue" content="1"> <meta name="citation_firstpage" content="83"> <meta name="citation_lastpage" content="94"> <meta name="citation_pdf_url" content="https://ibn.idsi.md/sites/default/files/imag_file/On%20stability%20radius%20of%20the%20multicriteria%20variant%20of%20Markowitzs%20investment%20portfolio%20problem%2083_94.pdf">
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