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

页码：95 / 100

页数：6

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