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A discrete variant of a multicriteria investment portfolio optimization problem with Savage's risk criteria is considered. One of the three problem parameter spaces is endowed with Holder's norm, and the… Click to show full abstract
A discrete variant of a multicriteria investment portfolio optimization problem with Savage's risk criteria is considered. One of the three problem parameter spaces is endowed with Holder's norm, and the other two are endowed with Chebyshev's norm. The lower and upper attainable bounds on the stability radius of one Pareto optimal portfolio are obtained. We illustrate the application of our theoretical results by modeling a relevant case study.
Keywords:
case study;
problem;
risk criteria;
savage risk;
multicriteria investment;
problem savage
Journal Title: Journal of Industrial and Management Optimization
Year Published: 2020
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Journal Title: Journal of Industrial and Management Optimization
Year Published: 2020
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!