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Post-optimal analysis of investment problem with Wald's ordered maximin criteria
Authors: Vladimir Emelichev, Vladimir Korotkov
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Abstract
We consider Markowitz's multicriteria portfolio optimization problem with Wald's ordered maximin criteria. We obtained lower and upper attainable bounds of the stability radius of lexicographically optimal portfolio.E-mail: ,
Fulltext
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Contents
- Instability of solutions for nonlinear functional differential equations of fifth order with n-deviating arguments
- The stochastic optimal growth problem
- Conjugate sets of loops and quasigroups. DC-quasigroups
- Center problem for cubic systems with a bundle of two invariant straight lines and one invariant conic
- On cyclically-interval edge colorings of trees
- Post-optimal analysis of investment problem with Wald's ordered maximin criteria
- Matrix algorithm for Polling models with PH distribution
- On asymptotic representation of singular solutions of the model elliptic equation near boundary and formulation of singular
- Moment analysis of the telegraph random process
