On the stability radius of an efficient solution of a multicriteria portfolio optimisation problem with the Savage criteria

Abstract

On the base of the Markowitz portfolio theory, we construct an investment Boolean vector model with Savage's minimax risk criterion. We obtain lower and upper bounds for the stability radius of the Pareto-optimal portfolio of the model; in a certain special case, these bounds take the form of a formula for the stability radius of the efficient solution of the Boolean vector linear problem with the corresponding sets of matrices in the spaces of solutions and criteria.