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Stability Analysis of Efficient Portfolios in a Discrete Variant of Multicriteria Investment Problem with Savage’s Risk Criteria

Vladimir Emelichev, Yury Nikulin, Vladimir Korotkov, Stability Analysis of Efficient Portfolios in a Discrete Variant of Multicriteria Investment Problem with Savage’s Risk Criteria. Computer Science Journal of Moldova 25(3 (75)), 303–328, 2017.

Abstract:

We consider a multicriteria discrete variant of investment portfolio optimization problem with Savage’s risk criteria. Three combinations of norms in problem parameter spaces are considered. In each combination, one of the three spaces is endowed with H¨older’s norm, and the other two spaces are endowed with Chebyshev’s norm. The lower and upper attainable bounds on the stability radius of one Pareto optimal portfolio are obtained.

BibTeX entry:

@ARTICLE{jEmNiKo17a,
  title = {Stability Analysis of Efficient Portfolios in a Discrete Variant of Multicriteria Investment Problem with Savage’s Risk Criteria},
  author = {Emelichev, Vladimir and Nikulin, Yury and Korotkov, Vladimir},
  journal = {Computer Science Journal of Moldova},
  volume = {25},
  number = {3 (75)},
  pages = {303–328},
  year = {2017},
}

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

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