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JOURNALS // Diskretnyi Analiz i Issledovanie Operatsii // Archive

Diskretn. Anal. Issled. Oper., 2012 Volume 19, Issue 6, Pages 23–36 (Mi da709)

This article is cited in 4 papers

Stability analysis of Pareto optimal portfolio of multicriteria investment problem with Wald's maximin criteria

V. A. Emelichev, V. V. Korotkov

Belarusian State University, Minsk, Belarus

Abstract: Lower and upper attainable bounds for the stability radius of a Pareto optimal portfolio of the multicriteria investment problem with Wald's maximin efficient criteria are obtained in the case with the linear norm $l_1$ in every space of the problem parameters. Bibliogr. 14.

Keywords: multicriteria investment problem, Pareto optimal investment portfolio, portfolio efficiency, Wald's maximin criteria, stability radius, stability.

UDC: 519.8

Received: 13.01.2012
Revised: 11.02.2012



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