Original scientific paper
https://doi.org/10.17535/crorr.2015.0016
Stability of the bicriteria Boolean investment problem subject to extreme optimism and pessimism criteria
Vladimir Korotkov
; Department of Mathematics and Statistics, University of Turku, Turku, Finland
Yury Nikulin
; Department of Mathematics and Statistics, University of Turku, Turku, Finland
Vladimir Emelichev
; Mechanics and Mathematics Faculty, Belarusian State University, Minsk, Belarus
Abstract
We consider the bicriteria investment Boolean problem of finding the Pareto set based on efficiency and risk criteria. The quantitative stability characteristics of the problem are investigated, and lower and upper bounds for a stability radius are obtained for the case where portfolio and financial market state spaces are endowed with the Hölder metric. Calculation of these bounds provides investors with a deeper insight into the specific problem of facilitating financial decisions more reliably in uncertain environments.
Keywords
bicriteria; investment portfolio; portfolio risk; Pareto set; stability radius; Hölder metric
Hrčak ID:
138608
URI
Publication date:
30.3.2015.
Visits: 1.279 *