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

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dc.contributor.authorKorotkov Vladimir
dc.contributor.authorEmelichev Vladimir
dc.contributor.authorNikulin Yury
dc.contributor.organizationfi=sovellettu matematiikka|en=Applied mathematics|
dc.contributor.organization-code1.2.246.10.2458963.20.48078768388
dc.converis.publication-id40739305
dc.converis.urlhttps://research.utu.fi/converis/portal/Publication/40739305
dc.date.accessioned2022-10-28T12:27:25Z
dc.date.available2022-10-28T12:27:25Z
dc.description.abstract<p>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.<br></p>
dc.format.pagerange1297
dc.format.pagerange1310
dc.identifier.eissn1553-166X
dc.identifier.jour-issn1547-5816
dc.identifier.olddbid176530
dc.identifier.oldhandle10024/159624
dc.identifier.urihttps://www.utupub.fi/handle/11111/32027
dc.identifier.urlhttps://aimsciences.org/article/doi/10.3934/jimo.2019003
dc.identifier.urnURN:NBN:fi-fe2021042713471
dc.language.isoen
dc.okm.affiliatedauthorNikulin, Yury
dc.okm.discipline111 Mathematicsen_GB
dc.okm.discipline111 Matematiikkafi_FI
dc.okm.internationalcopublicationinternational co-publication
dc.okm.internationalityInternational publication
dc.okm.typeA1 ScientificArticle
dc.publisherAmerican Institute of Mathematical Sciences
dc.publisher.countryUnited Statesen_GB
dc.publisher.countryYhdysvallat (USA)fi_FI
dc.publisher.country-codeUS
dc.relation.doi10.3934/jimo.2019003
dc.relation.ispartofjournalJournal of Industrial and Management Optimization
dc.relation.issue3
dc.relation.volume16
dc.source.identifierhttps://www.utupub.fi/handle/10024/159624
dc.titleMulticriteria investment problem with Savage's risk criteria: Theoretical aspects of stability and case study
dc.year.issued2020

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