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IMCS/Publications/BASM/Issues/BASM n.3(82), 2016/

An investment problem under multicriteriality, uncertainty and risk

Authors: Vladimir Emelichev, Sergey Bukhtoyarov, Vadzim Mychkov

Abstract

The strong stability radius of the multicriteria investment Boolean problem with the Savage risk criteria is investigated. The problem is to find the set of Pareto optimal portfolios. Upper and lower bounds of such a radius are derived for the case where different H\"older metrics are defined in the three problem parameters spaces.

Belarusian State University
av. Nezavisimosti,4, 220030 Minsk
Belarus
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