Emelichev, Vladimir; Korotkov, Vladimir; Kuzmin, Kirill On stability of Pareto-optimal solution of portfolio optimization problem with Savage’s minimax risk criteria. (English) Zbl 1242.90105 Bul. Acad. Ştiinţe Repub. Mold., Mat. 2010, No. 3(64), 35-44 (2010). 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. Cited in 3 Documents MSC: 90C09 Boolean programming 90C29 Multi-objective and goal programming 90C31 Sensitivity, stability, parametric optimization 90C47 Minimax problems in mathematical programming Keywords:portfolio optimization; Savage’s minimax risk criteria; Pareto-optimal portfolio; stability radius PDF BibTeX XML Cite \textit{V. Emelichev} et al., Bul. Acad. Ştiinţe Repub. Mold., Mat. 2010, No. 3(64), 35--44 (2010; Zbl 1242.90105) Full Text: Link