Stability radius of a vector investment problem with savage's minimax risk criteria

被引：4
作者：
Emelichev V.A. [1 ]
Korotkov V.V. [1 ]
机构：
[1] Belarusian State University, Minsk
来源：
Cybernetics and Systems Analysis | 2012年 / 48卷 / 3期
关键词：
Bottleneck criterion; Efficient portfolio; Investment problem; Pareto set; Savage's minimax risk criterion; Stability radius; Vector Boolean problem;
D O I：
10.1007/s10559-012-9417-8
中图分类号：
学科分类号：
摘要：
Based on the classical Markowitz model, we formulate a vector (multicriteria) Boolean problem of portfolio optimization with bottleneck criteria under risk. We obtain the lower and upper attainable bounds for the quantitative characteristics of the type of stability of the problem, which is a discrete analog of the Hausdorff upper semicontinuity of the multivalued mapping that defines the Pareto optimality. © 2012 Springer Science+Business Media, Inc.
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页码：378 / 386
页数：8
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