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On the stability measure of solutions to a vector version of an investment problem

Under consideration is the vector version of the Markowitz investment problem with the extreme optimism criteria. The goal is to find the Pareto set. Some lower and upper bounds are obtained for the stability radius understood to be a limit level of changes of the parameters of the vector criterion...

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Bibliographic Details
Published in:Journal of applied and industrial mathematics 2015-07, Vol.9 (3), p.328-334
Main Authors: Bukhtoyarov, S. E., Emelichev, V. A.
Format: Article
Language:English
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Summary:Under consideration is the vector version of the Markowitz investment problem with the extreme optimism criteria. The goal is to find the Pareto set. Some lower and upper bounds are obtained for the stability radius understood to be a limit level of changes of the parameters of the vector criterion that do not lead to the appearance of new Pareto-optimal portfolios. The analysis of the problemstability is performed under the assumption that, on the space of projects and the criteria space of the economic effectiveness indicators of the projects, an arbitrary Hölder norm l p is given with 1 ≤ p ≤∞ whereas, on the space of the financialmarket states, the Chebyshev norm l ∞ . Some cases are indicated when the found bounds are attained.
ISSN:1990-4789
1990-4797
DOI:10.1134/S1990478915030047