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

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Cybernetics and Systems Analysis Aims and scope

Abstract

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.

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Authors and Affiliations

  1. Belarusian State University, Minsk, Belarus

    V. A. Emelichev & V. V. Korotkov

Authors
  1. V. A. Emelichev
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  2. V. V. Korotkov
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Correspondence to V. A. Emelichev.

Additional information

The study was carried out within the framework of the joint project of the NAS of Ukraine and the Belarusian Republican Foundation for Basic Research F11K-095 “Stability analysis and development of solution methods for multicriteria discrete optimization problems.”

Translated from Kibernetika i Sistemnyi Analiz, No. 3, May–June, 2012, pp. 68–77.

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Emelichev, V.A., Korotkov, V.V. Stability radius of a vector investment problem with Savage’s minimax risk criteria. Cybern Syst Anal 48, 378–386 (2012). https://doi.org/10.1007/s10559-012-9417-8

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  • DOI: https://doi.org/10.1007/s10559-012-9417-8

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