Geodesic
Investigation of the solution stability of vector investment Boolean problem in the case of H\"older metric in a~criteria space
Prikladnaâ diskretnaâ matematika, no. 4 (2012), pp. 61-72

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The stability of a Pareto-optimal portfolio in the multicriteria discrete variant of Markowitz's investment problem with the Wald's maximin efficiency criteria is analysed. The lower and upper bounds for the stability radius of such a portfolio are obtained in the case of the Hölder metric $l_p$, $1\leq p\leq\infty$, in the criteria space of the problem parameters.
Keywords: vector investment problem, Pareto-optimal investment portfolio, Wald's efficiency criteria, stability radius of portfolio, the Hölder metric. 
@article{PDM_2012_4_a4,
     author = {V. A. Emelichev and V. V. Korotkov},
     title = {Investigation of the solution stability of vector investment {Boolean} problem in the case of  {H\"older} metric in a~criteria space},
     journal = {Prikladna\^a diskretna\^a matematika},
     pages = {61--72},
     publisher = {mathdoc},
     number = {4},
     year = {2012},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/PDM_2012_4_a4/}
}
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V. A. Emelichev; V. V. Korotkov. Investigation of the solution stability of vector investment Boolean problem in the case of  H\"older metric in a~criteria space. Prikladnaâ diskretnaâ matematika, no. 4 (2012), pp. 61-72. http://geodesic.mathdoc.fr/item/PDM_2012_4_a4/