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Markowitz investment Boolean problem in case of uncertainty, multicriteria and risk. (Russian. English summary) Zbl 07310209
Summary: Lower and upper bounds are obtained for the stability radius of a Pareto optimal portfolio of multicriteria variant of Markowitz problem with Savage minimax risk criteria in the case of any Hölder metric $$l_p, 1\leq p\leq\infty$$, in the portfolio space and Chebyshev metric in the risk and market state spaces.
##### MSC:
 91 Game theory, economics, finance, and other social and behavioral sciences 49 Calculus of variations and optimal control; optimization
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