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Stability analysis of Pareto optimal portfolio of multicriteria investment maximin problem in the Hölder metric. (English) Zbl 1305.90301
Summary: We analyzed the stability of a Pareto-optimal portfolio of the multicriteria discrete variant of Markowitz’s investment problem with Wald’s maximin efficiency criteria. We obtained lower and upper bounds for the stability radius of such portfolio in the case of the Hölder metric \(l_{p}, 1\leq p \leq \infty \), in the three-dimensional space of problem parameters. We also show the attainability of bounds in particular cases.

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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