Multicriteria investment problem with Savage's risk criteria: Theoretical aspects of stability and case study
Nikulin Yury; Korotkov Vladimir; Emelichev Vladimir
Multicriteria investment problem with Savage's risk criteria: Theoretical aspects of stability and case study
Nikulin Yury
Korotkov Vladimir
Emelichev Vladimir
American Institute of Mathematical Sciences
Julkaisun pysyvä osoite on:
https://urn.fi/URN:NBN:fi-fe2021042713471
https://urn.fi/URN:NBN:fi-fe2021042713471
Tiivistelmä
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.
Kokoelmat
- Rinnakkaistallenteet [19207]