Multicriteria investment problem with Savage's risk criteria: Theoretical aspects of stability and case study
: Korotkov Vladimir, Emelichev Vladimir, Nikulin Yury
Publisher: American Institute of Mathematical Sciences
: 2020
: Journal of Industrial and Management Optimization
: 16
: 3
: 1297
: 1310
: 14
: 1547-5816
: 1553-166X
DOI: https://doi.org/10.3934/jimo.2019003
: https://aimsciences.org/article/doi/10.3934/jimo.2019003
: 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.