A4 Refereed article in a conference publication
Analyzing Stability of Extreme Portfolios
Authors: Nikulin Yury, Emelichev Vladimir
Editors: Nicholas N. Olenev, Yuri G. Evtushenko, Milojica Jaćimović, Michael Khachay, Vlasta Malkova
Conference name: International Conference on Optimization and Applications
Publication year: 2021
Journal: Lecture Notes in Computer Science
Book title : Optimization and Applications: 12th International Conference, OPTIMA 2021, Petrovac, Montenegro, September 27 – October 1, 2021, Proceedings
Series title: Lecture Notes in Computer Science
Volume: 13078
First page : 303
Last page: 317
ISBN: 978-3-030-91058-7
eISBN: 978-3-030-91059-4
ISSN: 0302-9743
DOI: https://doi.org/10.1007/978-3-030-91059-4_22(external)
Web address : https://link.springer.com/chapter/10.1007%2F978-3-030-91059-4_22(external)
On the basis of the portfolio theory, a multicriteria investment Boolean problem of minimizing lost profits is formulated. The problem considered is to find a set of all extreme portfolios. The quality of such portfolios is assessed by examining the stability of the set of extreme portfolios to perturbations of Savage’s minimax risk criterion parameters. The lower and upper bounds on the radius of the strong stability are obtained under the assumption that arbitrary H¨older’s norms are specified in the three spaces of the problem’s initial data. The case of the investment problem with linear criteria is considered separately. For this case, the attainability of the bounds is proven.
