On stability of multicriteria investment Boolean problem with Wald's efficiency criteria
Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, no. 1 (2014), pp. 3-13
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Based on Markowitz's portfolio theory we construct the multicriteria Boolean problem with Wald's maximin efficiency criteria and the Pareto-optimality principle. We obtained lower and upper attainable bounds for the stability radius of the problem in the cases of linear metric $l_1$ in the portfolio and the market state spaces and of the Chebyshev metric $l_\infty$ in the criteria space.
@article{BASM_2014_1_a0,
author = {Vladimir Emelichev and Vladimir Korotkov},
title = {On stability of multicriteria investment {Boolean} problem with {Wald's} efficiency criteria},
journal = {Buletinul Academiei de \c{S}tiin\c{t}e a Republicii Moldova. Matematica},
pages = {3--13},
publisher = {mathdoc},
number = {1},
year = {2014},
language = {en},
url = {http://geodesic.mathdoc.fr/item/BASM_2014_1_a0/}
}
TY - JOUR AU - Vladimir Emelichev AU - Vladimir Korotkov TI - On stability of multicriteria investment Boolean problem with Wald's efficiency criteria JO - Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica PY - 2014 SP - 3 EP - 13 IS - 1 PB - mathdoc UR - http://geodesic.mathdoc.fr/item/BASM_2014_1_a0/ LA - en ID - BASM_2014_1_a0 ER -
%0 Journal Article %A Vladimir Emelichev %A Vladimir Korotkov %T On stability of multicriteria investment Boolean problem with Wald's efficiency criteria %J Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica %D 2014 %P 3-13 %N 1 %I mathdoc %U http://geodesic.mathdoc.fr/item/BASM_2014_1_a0/ %G en %F BASM_2014_1_a0
Vladimir Emelichev; Vladimir Korotkov. On stability of multicriteria investment Boolean problem with Wald's efficiency criteria. Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, no. 1 (2014), pp. 3-13. http://geodesic.mathdoc.fr/item/BASM_2014_1_a0/