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ЖУРНАЛЫ // Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica // Архив

Bul. Acad. Ştiinţe Repub. Mold. Mat., 2015, номер 1, страницы 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

Аннотация: 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.

Ключевые слова и фразы: multicriteria Markowitz problem, Boolean investment problem, stability radius bound, efficiency of investment project.

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

Поступила в редакцию: 06.10.2014

Язык публикации: английский



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