On stability of multicriteria investment Boolean problem with Wald's efficiency criteria

Vladimir Emelichev ; Vladimir Korotkov

Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, no. 1 (2014), pp. 3-13.

Résumé

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.

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