Authors: Vladimir Emelichev, Vladimir Korotkov
Keywords: Multicriteria optimization, investment portfolio, Wald's maximin e±ciency criteria, Pareto-optimal portfolio, stability radius.
Abstract
We analyzed the stability of a Pareto-optimal portfolio of the multicriteria discrete variant of Markowitz's investment
problem with Wald's maximin efficiency criteria. We obtained lower and upper bounds for the stability radius of such portfolio in the case of the Hölder metric l
p, 1<= p=>∞, in the three-dimensional space of problem parameters. We also show the attainability of bounds in particular cases.
Belarusian State University
av. Nezavisimosti, 4, 220030 Minsk
Belarus
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