Post-optimal Analysis for Markowitz's Multicriteria Portfolio Optimization Problem

被引：4
|
作者：
Emelichev, Vladimir [1 ]
Korotkov, Vladimir [1 ]
Nikulin, Yury [2 ]
机构：
[1] Belarusian State Univ, Mech & Math Fac, Nezavisimosti Av 4, Minsk 220030, BELARUS
[2] Univ Turku, Dept Math & Stat, Turku 20014, Finland
来源：
JOURNAL OF MULTI-CRITERIA DECISION ANALYSIS | 2014年 / 21卷 / 1-2期
关键词：
multicriteria investment problem; lexicographically optimal portfolio; Savage's risk criteria; bottleneck criteria; stability analysis of portfolio; stability radius;
D O I：
10.1002/mcda.1492
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
We formulate a multicriteria discrete variant of well-known Markowitz's portfolio optimization model with Savage's ordered minimax risk criteria. We constructed lower and upper bounds of the stability radius of a lexicographic optimum (portfolio) in the case of linear metric l(1) in three-dimension space of the problem parameters. Copyright (C) 2013 John Wiley & Sons, Ltd.
引用
收藏
页码：95 / 100
页数：6
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