Institutul de Matematică şi Informatică "Vladimir Andrunachievici"
Universitatea de Stat din MoldovaRO EN
Stability Analysis of Efficient Portfolios in a Discrete Variant of Multicriteria Investment Problem with Savage's Risk Criteria
Authors: Vladimir Emelichev, Yury Nikulin, Vladimir Korotkov
Keywords: Multicriteria problem, Pareto optimal portfolio, Savage's risk criteria, stability radius, H{\"o}lder's norms
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Keywords: Multicriteria problem, Pareto optimal portfolio, Savage's risk criteria, stability radius, H{\"o}lder's norms
Abstract
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\"{o}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.Vladimir Emelichev,
Belarusian State University
Nezavisimosti 4,\\ 220030 Minsk, Belarus
E-mail:
Yury Nikulin(corresponding author)
University of Turku
Vesilinnantie 5,\\ 20014 Turku, Finland
E-mail:
Vladimir V. Korotkov
University of Turku
Vesilinnantie 5, 20014 Turku, Finland
Belarusian State University
Nezavisimosti 4,\\ 220030 Minsk, Belarus
E-mail:
Yury Nikulin(corresponding author)
University of Turku
Vesilinnantie 5,\\ 20014 Turku, Finland
E-mail:
Vladimir V. Korotkov
University of Turku
Vesilinnantie 5, 20014 Turku, Finland
Fulltext
Contents
- Choice Numbers of Multi-Bridge Graphs
- A remark on the weak Turán’s Theorem
At the request of the author (Received October 21, 2019), the article has been retracted.
- On the locating matrix of a graph and its spectral analysis
- Computing Comprehensive Gröbner Systems: A Comparison of Two Methods
- Stability Analysis of Efficient Portfolios in a Discrete Variant of Multicriteria Investment Problem with Savage's Risk Criteria
- A linear model for multidimensional Big Data visualization
- Non-commutative finite associative algebras of 2-dimension vectors