S.Y. BUKHTOYAROV, V.A. YEMELICHEV
ESTIMATING STABILITY RADIUS OF PORTFOLIO OPTIMIZATION PROBLEM WITH EXTREME OPTIMISM AND EXTREME PESSIMISM CRITERIA


We consider a bicriteria Boolean investment problem with inconsistent efficiency and risk criteria that finds Pareto set. The type of problem stability under investigation is the discrete analog of Hausdorff upper semicontinuity property of multivalued mappings, which puts each set of parameters into correspondence with the Pareto set. Lower- and upper-bound estimates of stability radius of the problem in the space of parameters with arbitrary Hölder metric  ,  .

Keywords: bicriteriality, investment portfolio, extreme optimism criterion (MAXMAX), extreme pessimism criterion (MINMAX), Pareto set, problem stability radius, Hölder metric
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