On radius of one stability type for a multicriteria investment problem with risk minimization

V. A. Emelichev ; S. E. Bukhtoyarov

Trudy Instituta matematiki, Tome 25 (2017) no. 1, pp. 3-14.

Résumé

Basing on the Markowitz portfolio theory we formulate a multicriteria Boolean investment problem with generalized risk criteria. We consider the case when the Hölder and Chebyshev norms are defined in all the three spaces of the problem parameters. Attainable bounds of the problem stability radius are given.

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