an:06898232
Zbl 1390.91281
Emelichev, Vladimir; Nikulin, Yury; Korotkov, Vladimir
Stability analysis of efficient portfolios in a discrete variant of multicriteria investment problem with Savage's risk criteria
EN
Comput. Sci. J. Mold. 25, No. 3, 303-328 (2017).
00406448
2017
j
91G10
multicriteria problem; Pareto-optimal portfolio; Savage's risk criteria; stability radius; H??lder's norms
Summary: We consider a multicriteria discrete variant of investment portfolio optimization problem with Savage's risk criteria. Three combinations of norms in problem parameter spaces are considered. In each combination, one of the three spaces is endowed with H??lder's norm, and the other two spaces are endowed with Chebyshev's norm. The lower and upper attainable bounds on the stability radius of one Pareto optimal portfolio are obtained.