IMCS/Publications/BASM/Issues/BASM n.1 (77), 2015/

Stability radius bounds in multicriteria Markowitz portfolio problem with venturesome investor criteria

Authors: Vladimir Emelichev, Olga Karelkina


The lower and upper bounds on the stability radius are obtained in multicriteria Boolean Markowitz investment problem with criteria of extreme optimism (MAXMAX) about portfolio return in the case when portfolio and financial market states spaces are endowed with Hölder metric, and criteria space of economical efficiency of investment projects is endowed with Chebyshev metric.

Belarusian State University
av. Nezavisimosti, 4, 220030 Minsk
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