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Post-optimal analysis of investment problem with Wald’s ordered maximin criteria. (English) Zbl 1401.90125
Summary: We consider Markowitz’s multicriteria portfolio optimization problem with Wald’s ordered maximin criteria. We obtained lower and upper attainable bounds of the stability radius of lexicographically optimal portfolio.

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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