A4 Vertaisarvioitu artikkeli konferenssijulkaisussa
Analyzing Stability of Extreme Portfolios
Tekijät: Nikulin Yury, Emelichev Vladimir
Toimittaja: Nicholas N. Olenev, Yuri G. Evtushenko, Milojica Jaćimović, Michael Khachay, Vlasta Malkova
Konferenssin vakiintunut nimi: International Conference on Optimization and Applications
Julkaisuvuosi: 2021
Journal: Lecture Notes in Computer Science
Kokoomateoksen nimi: Optimization and Applications: 12th International Conference, OPTIMA 2021, Petrovac, Montenegro, September 27 – October 1, 2021, Proceedings
Sarjan nimi: Lecture Notes in Computer Science
Vuosikerta: 13078
Aloitussivu: 303
Lopetussivu: 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
Verkko-osoite: https://link.springer.com/chapter/10.1007%2F978-3-030-91059-4_22
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.
