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Volume 22, No 2, 2015, P. 5-16

UDC 519.17
S. E. Bukhtoyarov, V. A. Emelichev
On stability of solutions of a vector variant of one investment problem

Abstract:
The vector Boolean problem of portfolio optimization with extreme optimism criteria and Pareto optimality principle is considered. Upper and lower bounds of stability radius are given with an arbitrary Hölder metric in the space of investment projects and in the space of factors of projects economical efficiency and with the Chebyshev metric in the space of financial market states.
Bibliogr. 10.

Keywords: vector investment problem, extreme optimism criteria, Pareto set, stability radius of a problem, Hölder norm, Chebyshev norm.

DOI: 10.17377/daio.2015.22.467

Sergey E. Bukhtoyarov 1
Vladimir A. Emelichev 1

1. Belarusian State University,
4 Nezavisimosti Ave., 220030 Minsk, Belarus
-mail: emelichev@tut.by

Received 15 November 2014

References

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[7] V. A. Emelichev and V. V. Korotkov, On stability of multicriteria investment Boolean problem with Wald’s efficiency criteria, Bul. Acad. Ştiinţe Repub. Mold., Mat., No. 1, 3–13, 2014.

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 © Sobolev Institute of Mathematics, 2015