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

Bul. Acad. Ştiinţe Repub. Mold. Mat., 2021 Number 3, Pages 36–49 (Mi basm557)

Strong stability for multiobjective investment problem with perturbed minimax risks of different types and parameterized optimality

Vladimir A. Emelicheva, Yury V. Nikulinb

a Belarusian State University, ave. Independence, 4, Minsk 220030, Belarus
b University of Turku, Vesilinnantie 5, Turku 20014, Finland

Abstract: A multicriteria investment Boolean problem of minimizing lost profits with parameterized efficiency and different types of risks is formulated. The lower and upper bounds on the radius of the strong stability of efficient portfolios are obtained. Several earlier known results regarding strong stability of Pareto efficient and extreme portfolios are confirmed.

Keywords and phrases: multiobjective problem, investment, Pareto set, a set of extreme solutions, strong stability, Hölder's norms.

MSC: 90C10, 90C29

Received: 01.09.2021

Language: English



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