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On stability of Pareto-optimal solution of portfolio optimization problem with Savages minimax risk criteria
Authors: Vladimir Emelichev, Vladimir Korotkov, Kirill Kuzmin
Keywords: Portfolio optimization, Savage’s minimax risk criteria, Pareto-optimal portfolio, stability radius
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Keywords: Portfolio optimization, Savage’s minimax risk criteria, Pareto-optimal portfolio, stability radius
Abstract
A multicriteria Boolean optimization problem consisting in an efficient choice of a Pareto-optimal portfolio of investor’s assets that uses the Savage’s minimax risk criteria is considered. Upper and lower attainable bounds of the stability radius of such portfolio with regard to independent changes of elements of a risk matrix are obtained.Fulltext
– 0.13 Mb
Contents
- Generalized hypergeometric systems and the fifth and sixth Painlev´e equations
- Vague BF-algebras
- A heuristic algorithm for the two-dimensional single large bin packing problem
- On isotopy, parastrophy and orthogonality of quasigroups
- On stability of Pareto-optimal solution of portfolio optimization problem with Savages minimax risk criteria
- On quasiidenties of torsion free nilpotent loops
- Center problem for a class of cubic systems with a bundle of two invariant straight lines and one invariant conic
- Method for constructing one-point expansions of a topology* on a finite set and its applications
- Topological rings with at most two nontrivial closed ideals
- Convex Quadrics
- On spaces related to the Navier-Stokes equations
