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

Bul. Acad. Ştiinţe Repub. Mold. Mat., 2015 Number 1, Pages 13–19 (Mi basm381)

Stability radius bounds in multicriteria Markowitz portfolio problem with venturesome investor criteria

Vladimir Emelichev, Olga Karelkina

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

Abstract: The lower and upper bounds on the stability radius are obtained in multicriteria Boolean Markowitz investment problem with criteria of extreme optimism (MAXMAX) about portfolio return in the case when portfolio and financial market states spaces are endowed with Hölder metric, and criteria space of economical efficiency of investment projects is endowed with Chebyshev metric.

Keywords and phrases: multicriteria Markowitz problem, Boolean investment problem, stability radius bound, efficiency of investment project.

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

Received: 06.10.2014

Language: English



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