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Post Optimal Analysis for Markowitz's Multicriteria Portfolio Optimization Problem

Vladimir Emelichev, Vladimir Korotkov, Yury Nikulin, Post Optimal Analysis for Markowitz's Multicriteria Portfolio Optimization Problem. Journal of Multi-Criteria Decision Analysis 21, 95–100, 2014.

Abstract:

We formulate a multicriteria discrete variant of well-known Markowitz's portfolio optimization model with Savage's ordered minimax risk criteria. We constructed lower and upper bounds of the stability radius of a lexicographic optimum (portfolio) in the case of linear metric l1 in three-dimension space of the problem parameters

BibTeX entry:

@ARTICLE{jEmKoNi14a,
  title = {Post Optimal Analysis for Markowitz's Multicriteria Portfolio Optimization Problem},
  author = {Emelichev, Vladimir and Korotkov, Vladimir and Nikulin, Yury},
  journal = {Journal of Multi-Criteria Decision Analysis},
  volume = {21},
  pages = {95–100},
  year = {2014},
}

Belongs to TUCS Research Unit(s): Turku Optimization Group (TOpGroup)

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