Refereed journal article or data article (A1)
Multicriteria investment problem with Savage's risk criteria: Theoretical aspects of stability and case study
List of Authors: Korotkov Vladimir, Emelichev Vladimir, Nikulin Yury
Publisher: American Institute of Mathematical Sciences
Publication year: 2020
Journal: Journal of Industrial and Management Optimization
Volume number: 16
Issue number: 3
Start page: 1297
End page: 1310
Number of pages: 14
ISSN: 1547-5816
eISSN: 1553-166X
DOI: http://dx.doi.org/10.3934/jimo.2019003
URL: https://aimsciences.org/article/doi/10.3934/jimo.2019003
Self-archived copy’s web address: https://research.utu.fi/converis/portal/detail/Publication/40739305
A discrete variant of a multicriteria investment portfolio optimization problem with Savage's risk criteria is considered. One of the three problem parameter spaces is endowed with Hölder's norm, and the other two are endowed with Chebyshev's norm. The lower and upper attainable bounds on the stability radius of one Pareto optimal portfolio are obtained. We illustrate the application of our theoretical results by modeling a relevant case study.
Downloadable publication This is an electronic reprint of the original article. |