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




Korotkov Vladimir, Emelichev Vladimir, Nikulin Yury

PublisherAmerican Institute of Mathematical Sciences

2020

Journal of Industrial and Management Optimization

16

3

1297

1310

14

1547-5816

1553-166X

DOIhttps://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.


Last updated on 2024-26-11 at 20:29