RO EN
On stability radius of the multicriteria variant of Markowitz's investment portfolio problem
Authors: Vladimir Emelichev, Vladimir Korotkov
– 0.18 Mb
Abstract
Basing on Markowitz's classical theory we formulate a multicriteria Boolean portfolio optimization problem with Savage's minimax (bottleneck) risk criteria. We obtain lower and upper attainable bounds for stability radius of the problem of finding the Pareto set, consisting of efficient portfolios in the case of Chebyshev metric l∞ in the risk and state spaces, and linear metric l1 in the portfolios space.E-mail: ,
Fulltext
– 0.18 Mb
Contents
- Serial rings and their generalizations
- Reconstruction of centrally symmetric convex bodies in Rn
- On the structure of maximal non-finitely generated ideals of ring and Cohen's theorem
- On 2-primal Ore extensions over Noetherian σ(*)-rings
- Free topological universal algebras and absolute neighborhood retracts
- On the instability of solutions of seventh order nonlinear delay differential equations
- Algorithms for Determining the State-Time Probabilities and the Limit Matrix in Markov Chains
- On stability radius of the multicriteria variant of Markowitz's investment portfolio problem
