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JOURNALS // Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica // Archive

Bul. Acad. Ştiinţe Repub. Mold. Mat., 2010 Number 3, Pages 35–44 (Mi basm268)

This article is cited in 7 papers

Research articles

On stability of Pareto-optimal solution of portfolio optimization problem with Savage's minimax risk criteria

Vladimir Emelichev, Vladimir Korotkov, Kirill Kuzmin

Belarusian State University, Minsk, Belarus

Abstract: 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.

Keywords and phrases: portfolio optimization, Savage's minimax risk criteria, Pareto-optimal portfolio, stability radius.

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

Received: 30.04.2010

Language: English



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