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IMI/Publicaţii/BASM/Ediţii/BASM n.1 (74), 2014/

On stability of multicriteria investment Boolean problem with Wald's efficiency criteria

Authors: Vladimir Emelichev, Vladimir Korotkov

Abstract

Based on Markowitz's portfolio theory we construct the multicriteria Boolean problem with Wald's maximin efficiency criteria and the Pareto-optimality principle. We obtained lower and upper attainable bounds for the stability radius of the problem in the cases of linear metric l1 in the portfolio and the market state spaces and of the Chebyshev metric l in the criteria space.

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