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An investment problem under multicriteriality, uncertainty and risk. (English) Zbl 1371.90085
Summary: 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 Hölder metrics are defined in the three problem parameters spaces.
Reviewer: Reviewer (Berlin)

MSC:
90C09 Boolean programming
90C29 Multi-objective and goal programming
90C31 Sensitivity, stability, parametric optimization
90C47 Minimax problems in mathematical programming
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