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ЖУРНАЛЫ // Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica // Архив

Bul. Acad. Ştiinţe Repub. Mold. Mat., 2016, номер 3, страницы 82–98 (Mi basm429)

Эта публикация цитируется в 3 статьях

Research articles

An investment problem under multicriteriality, uncertainty and risk

Vladimir Emelichev, Sergey Bukhtoyarov, Vadzim Mychkov

Belarusian State University, av. Nezavisimosti, 4, 220030 Minsk, Belarus

Аннотация: The strong stability radius of the multicriteria investment Boolean problem with the Savage risk criteria is investigated. The problem is to find the set of Pareto optimal portfolios. Upper and lower bounds of such a radius are derived for the case where different Hölder metrics are defined in the three problem parameters spaces.

Ключевые слова и фразы: multicriteria optimization, Savage's risk criteria, set of Pareto optimal portfolios, strong stability radius, Hölder metric.

MSC: 90C09, 90C29, 90C31, 90C47

Поступила в редакцию: 10.01.2016

Язык публикации: английский



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