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Bul. Acad. Ştiinţe Repub. Mold. Mat., 2012, Number 1, Pages 59–69 (Mi basm310)  

This article is cited in 4 scientific papers (total in 4 papers)

Post-optimal analysis of investment problem with Wald's ordered maximin criteria

Vladimir Emelichev, Vladimir Korotkov

Belarusian State University, Minsk, Belarus

Abstract: We consider Markowitz's multicriteria portfolio optimization problem with Wald's ordered maximin criteria. We obtained lower and upper attainable bounds of the stability radius of lexicographically optimal portfolio.

Keywords and phrases: multicriteria optimization, investment portfolio, Wald's maximin efficient criteria, lexicographically optimal portfolio, stability radius.

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Bibliographic databases:

Document Type: Article
MSC: 90C09, 90C29, 90C31, 90C47
Received: 31.10.2012
Language: English

Citation: Vladimir Emelichev, Vladimir Korotkov, “Post-optimal analysis of investment problem with Wald's ordered maximin criteria”, Bul. Acad. Ştiinţe Repub. Mold. Mat., 2012, no. 1, 59–69

Citation in format AMSBIB
\Bibitem{EmeKor12}
\by Vladimir Emelichev, Vladimir Korotkov
\paper Post-optimal analysis of investment problem with Wald's ordered maximin criteria
\jour Bul. Acad. \c Stiin\c te Repub. Mold. Mat.
\yr 2012
\issue 1
\pages 59--69
\mathnet{http://mi.mathnet.ru/basm310}
\mathscinet{http://www.ams.org/mathscinet-getitem?mr=2987327}
\zmath{https://zbmath.org/?q=an:06100373}


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    Citing articles on Google Scholar: Russian citations, English citations
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    This publication is cited in the following articles:
    1. V. A. Emelichev, V. V. Korotkov, “Issledovanie ustoichivosti reshenii vektornoi investitsionnoi bulevoi zadachi v sluchae metriki Geldera v kriterialnom prostranstve”, PDM, 2012, no. 4(18), 61–72  mathnet
    2. Vladimir Emelichev, Vladimir Korotkov, “On stability of multicriteria investment Boolean problem with Wald's efficiency criteria”, Bul. Acad. Ştiinţe Repub. Mold. Mat., 2014, no. 1, 3–13  mathnet
    3. V. A. Emelichev, V. I. Mychkov, “Postoptimalnyi analiz vektornogo varianta odnoi investitsionnoi zadachi”, Tr. In-ta matem., 24:1 (2016), 9–18  mathnet
    4. Vladimir Emelichev, Sergey Bukhtoyarov, Vadzim Mychkov, “An investment problem under multicriteriality, uncertainty and risk”, Bul. Acad. Ştiinţe Repub. Mold. Mat., 2016, no. 3, 82–98  mathnet
  • Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica
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