an:06786030
Zbl 1371.90085
Emelichev, Vladimir; Bukhtoyarov, Sergey; Mychkov, Vadzim
An investment problem under multicriteriality, uncertainty and risk
EN
Bul. Acad. ??tiin??e Repub. Mold., Mat. 2016, No. 3(82), 82-98 (2016).
00365535
2016
j
90C09 90C29 90C31 90C47
multicriteria optimization; Savage's risk criteria; set of Pareto optimal portfolios; strong stability radius; H??lder metric
Summary: The strong stability radius of the multicriteria investment Boolean problem with the Savage risk criteria is investigated. The problem is to find the set of Pareto optimal portfolios. Upper and lower bounds of such a radius are derived for the case where different H??lder metrics are defined in the three problem parameters spaces.