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
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;
Conference_Titel :
Problems of Cybernetics and Informatics (PCI), 2012 IV International Conference
Conference_Location :
Baku
Print_ISBN :
978-1-4673-4500-2
DOI :
10.1109/ICPCI.2012.6486478
