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On stability of Pareto-optimal solution of portfolio optimization problem with Savage’s minimax risk criteria. (English) Zbl 1242.90105
Summary: A multicriteria Boolean optimization problem consisting in an efficient choice of a Pareto-optimal portfolio of investor’s assets that uses the Savage’s minimax risk criteria is considered. Upper and lower attainable bounds of the stability radius of such portfolio with regard to independent changes of elements of a risk matrix are obtained.

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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