Volume 19, No 6, 2012, P. 23-36

UDC 519.8
V. A. Emelichev, V. V. Korotkov
Stability analysis of Pareto optimal portfolio of multicriteria investment problem with Wald’s maximin criteria

Lower and upper attainable bounds for the stability radius of a Pareto optimal portfolio of the multicriteria investment problem with Wald’s maximin efficient criteria are obtained in the case with the linear norm $l_1$ in every space of the problem parameters.
Bibliogr. 14.

Keywords: multicriteria investment problem, Pareto optimal investment portfolio, portfolio efficiency, Wald’s maximin criteria, stability radius, stability.

Emelichev Vladimir Alekseevich 1
Korotkov Vladimir Vladimirovich 1

1. Belarusian State University,
4 Nezavisimost ave., 220030 Minsk, Belarus
e-mail: emelichev@bsu.byemelichev@tut.by, wladko@tut.by

 © Sobolev Institute of Mathematics, 2015