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IMI/Publicaţii/BASM/Ediţii/BASM n.3 (70), 2012/

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.

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
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