Stability radius of a vector investment problem with Savage's minimax risk criteria

DOI10.1007/s10559-012-9417-8zbMath1298.91135OpenAlexW2018393834MaRDI QIDQ466377

Vladimir Korotkov, Vladimir A. Emelichev

Publication date: 27 October 2014

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10559-012-9417-8

zbMATH Keywords

stability radiusPareto setefficient portfolioinvestment problembottleneck criterionSavage's minimax risk criterionvector Boolean problem

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47) Portfolio theory (91G10)

Related Items

Unnamed Item ⋮ On the stability measure of solutions to a vector version of an investment problem ⋮ Stability analysis of efficient portfolios in a discrete variant of multicriteria investment problem with Savage's risk criteria ⋮ On the quasistability radius for a multicriteria integer linear programming problem of finding extremum solutions ⋮ Multicriteria investment problem with Savage's risk criteria: theoretical aspects of stability and case study ⋮ Unnamed Item ⋮ Qualitative characteristics of the stability vector discrete optimization problems with different optimality principles ⋮ Investment Boolean problem with savage risk criteria under uncertainty

Cites Work

• Different types of stability of vector integer optimization problem: General approach
• On a quantitative measure of stability for a vector problem in integer programming
• Some concepts of stability analysis in combinatorial optimization
• A bibliography for the development of an intelligent mathematical programming system
• Quantitative stability analysis for vector problems of 0-1 programming
• Stability radius of a vector integer linear programming problem: Case of a regular norm in the space of criteria
• Stability of a vector integer quadratic programming problem with respect to vector criterion and constraints
• Stability of discrete vector problems with the parametric principle of optimality
• Stability of vector problems of integer optimization: relationship with the stability of sets of optimal and nonoptimal solutions
• Stability and Regularization of Vector Problems of Integer Linear Programming
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Stability radius of a vector investment problem with Savage's minimax risk criteria