Geodesic
On stability radius of the multicriteria variant of Markowitz's investment portfolio problem
Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, no. 1 (2011), pp. 83-94

Voir la notice de l'article provenant de la source Math-Net.Ru

Basing on Markowitz's classical theory we formulate a multicriteria Boolean portfolio optimization problem with Savage's minimax (bottleneck) risk criteria. We obtain lower and upper attainable bounds for stability radius of the problem of finding the Pareto set, consisting of efficient portfolios in the case of Chebyshev metric $l_\infty$ in the risk and state spaces, and linear metric $l_1$ in the portfolios space. 
@article{BASM_2011_1_a7,
     author = {Vladimir Emelichev and Vladimir Korotkov},
     title = {On stability radius of the multicriteria variant of {Markowitz's} investment portfolio problem},
     journal = {Buletinul Academiei de \c{S}tiin\c{t}e a Republicii Moldova. Matematica},
     pages = {83--94},
     publisher = {mathdoc},
     number = {1},
     year = {2011},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/BASM_2011_1_a7/}
}
TY  - JOUR
AU  - Vladimir Emelichev
AU  - Vladimir Korotkov
TI  - On stability radius of the multicriteria variant of Markowitz's investment portfolio problem
JO  - Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica
PY  - 2011
SP  - 83
EP  - 94
IS  - 1
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/BASM_2011_1_a7/
LA  - en
ID  - BASM_2011_1_a7
ER  - 
%0 Journal Article
%A Vladimir Emelichev
%A Vladimir Korotkov
%T On stability radius of the multicriteria variant of Markowitz's investment portfolio problem
%J Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica
%D 2011
%P 83-94
%N 1
%I mathdoc
%U http://geodesic.mathdoc.fr/item/BASM_2011_1_a7/
%G en
%F BASM_2011_1_a7
Vladimir Emelichev; Vladimir Korotkov. On stability radius of the multicriteria variant of Markowitz's investment portfolio problem. Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, no. 1 (2011), pp. 83-94. http://geodesic.mathdoc.fr/item/BASM_2011_1_a7/