Vladimir Emelichev, Vladimir Korotkov
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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