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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.

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Document Type: Article
UDC: 519.8
Received: 05.05.2017

Citation: V. A. Emelichev, S. E. Bukhtoyarov, “On radius of one stability type for a multicriteria investment problem with risk minimization”, Tr. Inst. Mat., 25:1 (2017), 3–14

Citation in format AMSBIB
\Bibitem{EmeBuk17}
\by V.~A.~Emelichev, S.~E.~Bukhtoyarov
\paper On radius of one stability type for a multicriteria investment problem with risk minimization
\jour Tr. Inst. Mat.
\yr 2017
\vol 25
\issue 1
\pages 3--14
\mathnet{http://mi.mathnet.ru/timb264}


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