Stability radius bounds in multicriteria Markowitz portfolio problem with venturesome investor criteria
Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, no. 1 (2015), pp. 13-19
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The lower and upper bounds on the stability radius are obtained in multicriteria Boolean Markowitz investment problem with criteria of extreme optimism (MAXMAX) about portfolio return in the case when portfolio and financial market states spaces are endowed with Hölder metric, and criteria space of economical efficiency of investment projects is endowed with Chebyshev metric.
@article{BASM_2015_1_a1,
author = {Vladimir Emelichev and Olga Karelkina},
title = {Stability radius bounds in multicriteria {Markowitz} portfolio problem with venturesome investor criteria},
journal = {Buletinul Academiei de \c{S}tiin\c{t}e a Republicii Moldova. Matematica},
pages = {13--19},
publisher = {mathdoc},
number = {1},
year = {2015},
language = {en},
url = {http://geodesic.mathdoc.fr/item/BASM_2015_1_a1/}
}
TY - JOUR AU - Vladimir Emelichev AU - Olga Karelkina TI - Stability radius bounds in multicriteria Markowitz portfolio problem with venturesome investor criteria JO - Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica PY - 2015 SP - 13 EP - 19 IS - 1 PB - mathdoc UR - http://geodesic.mathdoc.fr/item/BASM_2015_1_a1/ LA - en ID - BASM_2015_1_a1 ER -
%0 Journal Article %A Vladimir Emelichev %A Olga Karelkina %T Stability radius bounds in multicriteria Markowitz portfolio problem with venturesome investor criteria %J Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica %D 2015 %P 13-19 %N 1 %I mathdoc %U http://geodesic.mathdoc.fr/item/BASM_2015_1_a1/ %G en %F BASM_2015_1_a1
Vladimir Emelichev; Olga Karelkina. Stability radius bounds in multicriteria Markowitz portfolio problem with venturesome investor criteria. Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, no. 1 (2015), pp. 13-19. http://geodesic.mathdoc.fr/item/BASM_2015_1_a1/