Stability of the bicriteria Boolean investment problem subject to extreme optimism and pessimism criteria
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.
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