Multicriterial investment problem in conditions of uncertainty and risk

Abstract

Lower and upper attainable bounds for stability radius of efficient solution to multicriterial Boolean portfolio optimization problem with Savage's minimax risk criterion are obtained.

Investigation in stability of Markowitz's multicriterial portfolio optimization problem with Wald's maximin criteria in euclidean metric

“…In the real space (1), as usual [8,9], is defined as follows: Note that earlier in [10] the similar bounds were obtained for the stability radius of an optimal portfolio of the multicriteria investment Boolean problem with Savage's ordered risk criteria, and in [9] were announced and in [11] were published attainable bounds of the stability radius of the multicriteria investment problem with Savage's risk criteria and the Pareto optimality principle in the case of Chebyshev ∞ l metric in the three-dimensions problem parameters space.…”