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On the stability radius of an efficient solution of a multicriteria portfolio optimisation problem with the Savage criteria. (English. Russian original) Zbl 1262.91124
Discrete Math. Appl. 21, No. 5-6, 509-515 (2011); translation from Diskretn. Mat. 23, No. 4, 33-38 (2011).
Summary: On the base of the Markowitz portfolio theory, we construct an investment Boolean vector model with Savage’s minimax risk criterion. We obtain lower and upper bounds for the stability radius of the Pareto-optimal portfolio of the model; in a certain special case, these bounds take the form of a formula for the stability radius of the efficient solution of the Boolean vector linear problem with the corresponding sets of matrices in the spaces of solutions and criteria.

MSC:
91G10 Portfolio theory
90C31 Sensitivity, stability, parametric optimization
90C27 Combinatorial optimization
90C29 Multi-objective and goal programming
91G80 Financial applications of other theories
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