Stability radius of a vector investment problem with Savage’s minimax risk criteria

Based on the classical Markowitz model, we formulate a vector (multicriteria) Boolean problem of portfolio optimization with bottleneck criteria under risk. We obtain the lower and upper attainable bounds for the quantitative characteristics of the type of stability of the problem, which is a discre...

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Bibliographic Details
Published in:Cybernetics and systems analysis 2012-05, Vol.48 (3), p.378-386
Main Authors: Emelichev, V. A., Korotkov, V. V.
Format: Article
Language:English
Subjects:
Analysis
Artificial Intelligence
Boolean
Control
Criteria
Cybernetics
Decision-making
Game theory
Integer programming
Investors
Mathematical analysis
Mathematics
Mathematics and Statistics
Optimization
Pareto efficiency
Pareto optimality
Pareto optimum
Portfolio management
Processor Architectures
Risk
Securities markets
Software Engineering/Programming and Operating Systems
Stability
Studies
Systems Theory
Vectors (mathematics)
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Summary:Based on the classical Markowitz model, we formulate a vector (multicriteria) Boolean problem of portfolio optimization with bottleneck criteria under risk. We obtain the lower and upper attainable bounds for the quantitative characteristics of the type of stability of the problem, which is a discrete analog of the Hausdorff upper semicontinuity of the multivalued mapping that defines the Pareto optimality.
ISSN:1060-0396
1573-8337
DOI:10.1007/s10559-012-9417-8