A1 Refereed original research article in a scientific journal

Strong stability for multiobjective investment problem with perturbed minimax risks of different types and parameterized optimality



Authors: Emelichev Vladimir A., Nikulin Yury V.

Publisher: Institute of Mathematics and Computer Science

Publication year: 2021

Journal: Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica

Journal name in source: Buletinul Academiei de Stiinte a Republicii Moldova. Matematica

Volume: 97

Issue: 3

First page : 36

Last page: 49

ISSN: 1024-7696

Web address : http://mi.mathnet.ru/eng/basm/y2021/i3/p36

Self-archived copy’s web address: https://research.utu.fi/converis/portal/detail/Publication/176111163


Abstract

A multicriteria investment Boolean problem of minimizing lost profits with parameterized efficiency and different types of risks is formulated. The lower and upper bounds on the radius of the strong stability of efficient portfolios are obtained. Several earlier known results regarding strong stability of Pareto efficient and extreme portfolios are confirmed.


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Last updated on 2024-26-11 at 22:54