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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.byemelichev@tut.by, wladko@tut.by

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