Geodesic
Markowitz investment Boolean problem in case of uncertainty, multicriteria and risk
Prikladnaâ diskretnaâ matematika, no. 2 (2013), pp. 115-122

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Lower and upper bounds are obtained for the stability radius of a Pareto optimal portfolio of multicriteria variant of Markowitz problem with Savage minimax risk criteria in the case of any Hölder metric $l_p$, $1\leq p\leq\infty$, in the portfolio space and Chebyshev metric in the risk and market state spaces.
Keywords: multicriteria investment problem, Pareto optimal portfolio, Savage risk criteria, stability radius of portfolio, Hölder metric. 
@article{PDM_2013_2_a11,
     author = {V. A. Emelichev and R. P. Shatsov},
     title = {Markowitz investment {Boolean} problem in case of uncertainty, multicriteria and risk},
     journal = {Prikladna\^a diskretna\^a matematika},
     pages = {115--122},
     publisher = {mathdoc},
     number = {2},
     year = {2013},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/PDM_2013_2_a11/}
}
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V. A. Emelichev; R. P. Shatsov. Markowitz investment Boolean problem in case of uncertainty, multicriteria and risk. Prikladnaâ diskretnaâ matematika, no. 2 (2013), pp. 115-122. http://geodesic.mathdoc.fr/item/PDM_2013_2_a11/