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Stability analysis of Pareto optimal portfolio of multicriteria investment maximin problem in the Hölder metric
Authors: Vladimir Emelichev, Vladimir Korotkov
Keywords: Multicriteria optimization, investment portfolio, Wald's maximin e±ciency criteria, Pareto-optimal portfolio, stability radius.
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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 lp, 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
E-mail: ,
av. Nezavisimosti, 4, 220030 Minsk
Belarus
E-mail: ,
Fulltext
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Contents
- Boundedness for Vector-Valued Multilinear Singular Integral Operator on Lp Spaces with Variable Exponent
- On Frattini subloops and normalizers of commutative Moufang loop
- On a Method for Estimation of Risk Premiums Loaded by a Fraction of the Variance of the Risk
- Properties of covers in the lattice of group topologies for nilpotent groups
- A Note on the Affine Subspaces of Three-Dimensional Lie Algebras
- Solving the games generated by the informational extended strategies of the players
- Stability analysis of Pareto optimal portfolio of multicriteria investment maximin problem in the Hölder metric
- Invariant transformations of loop transversals. 2. The case of isotopy
