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JOURNALS // Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica // Archive
Bul. Acad. Ştiinţe Repub. Mold. Mat., 2012 Number 1, Pages 59–69 (Mi basm310)
This article is cited in 4 papers

Post-optimal analysis of investment problem with Wald's ordered maximin criteria

Vladimir Emelichev, Vladimir Korotkov

Belarusian State University, Minsk, Belarus

Abstract: We consider Markowitz's multicriteria portfolio optimization problem with Wald's ordered maximin criteria. We obtained lower and upper attainable bounds of the stability radius of lexicographically optimal portfolio.

Keywords and phrases: multicriteria optimization, investment portfolio, Wald's maximin efficient criteria, lexicographically optimal portfolio, stability radius.

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

Received: 31.10.2012

Language: English



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