Аннотация:
A multicriteria Boolean optimization problem consisting in an efficient choice of a Pareto-optimal portfolio of investor's assets that uses the Savage's minimax risk criteria is considered. Upper and lower attainable bounds of the stability radius of such portfolio with regard to independent changes of elements of a risk matrix are obtained.
Ключевые слова и фразы:portfolio optimization, Savage's minimax risk criteria, Pareto-optimal portfolio, stability radius.