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IMCS/Publications/BASM/Issues/BASM n.1 (65), 2011/

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

Authors: Vladimir Emelichev, Vladimir Korotkov

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.

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