• DocumentCode
    1679483
  • Title

    Investigation in stability of Markowitz´s multicriterial portfolio optimization problem with Wald´s maximin criteria in euclidean metric

  • Author

    Emelichev, V. ; Korotkov, V.

  • Author_Institution
    Belarusian State Univ., Minsk, Belarus
  • fYear
    2012
  • Firstpage
    1
  • Lastpage
    2
  • Abstract
    The vector Boolean variant of well-known Markowitz´s investment problem is considered with Wald´s maximin efficient criteria. Lower and upper attainable bounds for the stability radius of a Pareto-optimal portfolio of the problem are obtained in the case with Euclidian metric in the problem parameters space.
  • Keywords
    Pareto optimisation; investment; operations research; stability; Euclidean metric; Markowitz investment problem; Markowitz multicriteria portfolio optimization; Pareto-optimal portfolio; Wald maximin criteria; stability; vector Boolean variant; Pareto-optimal investment portfolio; Wald´s maximin criteria; multicriteria investment problem; portfolio efficiency; stability; stability radius;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Problems of Cybernetics and Informatics (PCI), 2012 IV International Conference
  • Conference_Location
    Baku
  • Print_ISBN
    978-1-4673-4500-2
  • Type

    conf

  • DOI
    10.1109/ICPCI.2012.6486478
  • Filename
    6486478
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1679483