Geodesic
On stability of Pareto-optimal solution of portfolio optimization problem with Savage's minimax risk criteria
Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, no. 3 (2010), pp. 35-44

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A multicriteria Boolean optimization problem consisting in an efficient choice of a Pareto-optimal portfolio of investor's assets that uses the Savage's minimax risk criteria is considered. Upper and lower attainable bounds of the stability radius of such portfolio with regard to independent changes of elements of a risk matrix are obtained. 
@article{BASM_2010_3_a4,
     author = {Vladimir Emelichev and Vladimir Korotkov and Kirill Kuzmin},
     title = {On stability of {Pareto-optimal} solution of portfolio optimization problem with {Savage's} minimax risk criteria},
     journal = {Buletinul Academiei de \c{S}tiin\c{t}e a Republicii Moldova. Matematica},
     pages = {35--44},
     publisher = {mathdoc},
     number = {3},
     year = {2010},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/BASM_2010_3_a4/}
}
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Vladimir Emelichev; Vladimir Korotkov; Kirill Kuzmin. On stability of Pareto-optimal solution of portfolio optimization problem with Savage's minimax risk criteria. Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, no. 3 (2010), pp. 35-44. http://geodesic.mathdoc.fr/item/BASM_2010_3_a4/