Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica
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Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, 2015, Number 1, Pages 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
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Abstract: 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.
Keywords and phrases: multicriteria Markowitz problem, Boolean investment problem, stability radius bound, efficiency of investment project.
Received: 06.10.2014
Document Type: Article
MSC: 90C09, 90C29, 90C31, 90C47
Language: English
Citation: 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
Citation in format AMSBIB
\Bibitem{EmeKar15}
\by Vladimir~Emelichev, Olga~Karelkina
\paper Stability radius bounds in multicriteria Markowitz portfolio problem with venturesome investor criteria
\jour Bul. Acad. \c Stiin\c te Repub. Mold. Mat.
\yr 2015
\issue 1
\pages 13--19
\mathnet{http://mi.mathnet.ru/basm381}
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