A1 Refereed original research article in a scientific journal

Multicriteria investment problem with Savage's risk criteria: Theoretical aspects of stability and case study




AuthorsKorotkov Vladimir, Emelichev Vladimir, Nikulin Yury

PublisherAmerican Institute of Mathematical Sciences

Publication year2020

JournalJournal of Industrial and Management Optimization

Volume16

Issue3

First page 1297

Last page1310

Number of pages14

ISSN1547-5816

eISSN1553-166X

DOIhttps://doi.org/10.3934/jimo.2019003(external)

Web address https://aimsciences.org/article/doi/10.3934/jimo.2019003(external)

Self-archived copy’s web addresshttps://research.utu.fi/converis/portal/detail/Publication/40739305(external)


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 2024-26-11 at 20:29