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JOURNALS // Proceedings of the Institute of Mathematics of the NAS of Belarus // Archive

Tr. Inst. Mat., 2017 Volume 25, Number 1, Pages 3–14 (Mi timb264)

On radius of one stability type for a multicriteria investment problem with risk minimization

V. A. Emelichev, S. E. Bukhtoyarov

Belarusian State University, Minsk

Abstract: Basing on the Markowitz portfolio theory we formulate a multicriteria Boolean investment problem with generalized risk criteria. We consider the case when the Hölder and Chebyshev norms are defined in all the three spaces of the problem parameters. Attainable bounds of the problem stability radius are given.

UDC: 519.8

Received: 05.05.2017



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