Geodesic
Post-optimal analysis of investment problem with Wald's ordered maximin criteria
Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, no. 1 (2012), pp. 59-69

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We consider Markowitz's multicriteria portfolio optimization problem with Wald's ordered maximin criteria. We obtained lower and upper attainable bounds of the stability radius of lexicographically optimal portfolio. 
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     author = {Vladimir Emelichev and Vladimir Korotkov},
     title = {Post-optimal analysis of investment problem with {Wald's} ordered maximin criteria},
     journal = {Buletinul Academiei de \c{S}tiin\c{t}e a Republicii Moldova. Matematica},
     pages = {59--69},
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     number = {1},
     year = {2012},
     language = {en},
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}
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Vladimir Emelichev; Vladimir Korotkov. Post-optimal analysis of investment problem with Wald's ordered maximin criteria. Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, no. 1 (2012), pp. 59-69. http://geodesic.mathdoc.fr/item/BASM_2012_1_a5/