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On stability radius of the multicriteria variant of Markowitz’s investment portfolio problem. (English) Zbl 1244.90205
Summary: Basing on Markowitz’s classical theory we formulate a multicriteria Boolean portfolio optimization problem with Savage’s minimax (bottleneck) risk criteria. We obtain lower and upper attainable bounds for stability radius of the problem of finding the Pareto set, consisting of efficient portfolios in the case of Chebyshev metric \(l_\infty \) in the risk and state spaces, and linear metric \(l_1\) in the portfolios space.

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