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Multicriteria investment problem with Savage's risk criteria: Theoretical aspects of stability and case study
Tekijät: Korotkov Vladimir, Emelichev Vladimir, Nikulin Yury
Kustantaja: American Institute of Mathematical Sciences
Julkaisuvuosi: 2020
Journal: Journal of Industrial and Management Optimization
Vuosikerta: 16
Numero: 3
Aloitussivu: 1297
Lopetussivu: 1310
Sivujen määrä: 14
ISSN: 1547-5816
eISSN: 1553-166X
DOI: https://doi.org/10.3934/jimo.2019003
Verkko-osoite: https://aimsciences.org/article/doi/10.3934/jimo.2019003
Rinnakkaistallenteen osoite: 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.
Ladattava julkaisu This is an electronic reprint of the original article. |  |
