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JOURNALS // Diskretnyi Analiz i Issledovanie Operatsii // Archive

Diskretn. Anal. Issled. Oper., 2015 Volume 22, Issue 2, Pages 5–16 (Mi da809)

This article is cited in 6 papers

On stability of solutions of a vector variant of one investment problem

S. E. Bukhtoyarov, V. A. Emelichev

1Belarusian State University, 4 Nezavisimosti Ave., 220030 Minsk, Belarus

Abstract: The vector Boolean problem of portfolio optimization with extreme optimism criteria and Pareto optimality principle is considered. Upper and lower bounds of stability radius are given with an arbitrary Hölder metric in the space of investment projects and in the space of factors of projects economical efficiency and with the Chebyshev metric in the space of financial market states. Bibliogr. 10.

Keywords: vector investment problem, extreme optimism criteria, Pareto set, stability radius of a problem, Hölder norm, Chebyshev norm.

UDC: 519.17

Received: 15.11.2014

DOI: 10.17377/daio.2015.22.467


 English version:
Journal of Applied and Industrial Mathematics, 2015, 9:3, 328–334

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