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Bul. Acad. Ştiinţe Repub. Mold. Mat., 2014, Number 1, Pages 3–13 (Mi basm349)  

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

Research articles

On stability of multicriteria investment Boolean problem with Wald's efficiency criteria

Vladimir Emelichev, Vladimir Korotkov

Belarusian State University, av. Nezavisimosti, 4, 220030 Minsk, Belarus

Abstract: Based on Markowitz's portfolio theory we construct the multicriteria Boolean problem with Wald's maximin efficiency criteria and the Pareto-optimality principle. We obtained lower and upper attainable bounds for the stability radius of the problem in the cases of linear metric $l_1$ in the portfolio and the market state spaces and of the Chebyshev metric $l_\infty$ in the criteria space.

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

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Document Type: Article
MSC: 90C09, 90C29, 90C31, 90C47
Received: 04.02.2013
Language: English

Citation: 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

Citation in format AMSBIB
\Bibitem{EmeKor14}
\by Vladimir~Emelichev, Vladimir~Korotkov
\paper On stability of multicriteria investment Boolean problem with Wald's efficiency criteria
\jour Bul. Acad. \c Stiin\c te Repub. Mold. Mat.
\yr 2014
\issue 1
\pages 3--13
\mathnet{http://mi.mathnet.ru/basm349}


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    This publication is cited in the following articles:
    1. S. E. Bukhtoyarov, V. A. Emelichev, “On stability of solutions of a vector variant of one investment problem”, J. Appl. Industr. Math., 9:3 (2015), 328–334  mathnet  crossref  crossref  mathscinet  elib
    2. Vladimir Emelichev, Olga Karelkina, “Stability radius bounds in multicriteria Markowitz portfolio problem with venturesome investor criteria”, Bul. Acad. Ştiinţe Repub. Mold. Mat., 2015, no. 1, 13–19  mathnet
    3. 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
    4. Vladimir A. Emelichev, Yury V. Nikulin, “Aspects of stability for multicriteria quadratic problems of Boolean programming”, Bul. Acad. Ştiinţe Repub. Mold. Mat., 2018, no. 2, 30–40  mathnet
  • Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica
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