Geodesic
Stability analysis of Pareto optimal portfolio of multicriteria investment maximin problem in the H\"older metric
Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, no. 3 (2012), pp. 63-71

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We analyzed the stability of a Pareto-optimal portfolio of the multicriteria discrete variant of Markowitz's investment problem with Wald's maximin efficiency criteria. We obtained lower and upper bounds for the stability radius of such portfolio in the case of the Hölder metric $l_p$, $1\leq p\leq\infty$, in the three-dimensional space of problem parameters. We also show the attainability of bounds in particular cases. 
@article{BASM_2012_3_a6,
     author = {Vladimir Emelichev and Vladimir Korotkov},
     title = {Stability analysis of {Pareto} optimal portfolio of multicriteria investment maximin problem in the {H\"older} metric},
     journal = {Buletinul Academiei de \c{S}tiin\c{t}e a Republicii Moldova. Matematica},
     pages = {63--71},
     publisher = {mathdoc},
     number = {3},
     year = {2012},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/BASM_2012_3_a6/}
}
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Vladimir Emelichev; Vladimir Korotkov. Stability analysis of Pareto optimal portfolio of multicriteria investment maximin problem in the H\"older metric. Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, no. 3 (2012), pp. 63-71. http://geodesic.mathdoc.fr/item/BASM_2012_3_a6/