Volume 19, No 6, 2012, P. 23-36
UDC 519.8
V. A. Emelichev, V. V. Korotkov
Stability analysis of Pareto optimal portfolio of multicriteria investment problem with Wald’s maximin criteria
Abstract:
Lower and upper attainable bounds for the stability radius of a Pareto optimal portfolio of the multicriteria investment problem with Wald’s maximin efficient criteria are obtained in the case with the linear norm$l_1$ in every space of the problem parameters.
Bibliogr. 14.
Keywords: multicriteria investment problem, Pareto optimal investment portfolio, portfolio efficiency, Wald’s maximin criteria, stability radius, stability.
Emelichev Vladimir Alekseevich 1
Korotkov Vladimir Vladimirovich 1
1. Belarusian State University,
4 Nezavisimost ave., 220030 Minsk, Belarus
e-mail: emelichev@bsu.by, emelichev@tut.by, wladko@tut.by
