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


Abstract

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.


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Last updated on 2022-07-04 at 17:43