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Post‐optimal Analysis for Markowitz's Multicriteria Portfolio Optimization Problem
Journal Of Multi‐criteria Decision AnalysisPeer ReviewedEmelichev Vladimir +22013Journals
We formulate a multicriteria discrete variant of well‐known Markowitz's portfolio optimization model with Savage's ordered minimax risk criteria. We constructed lower and upper bounds of the stability radius of a lexicographic optimum (portfolio) in the case of linear metric l 1 in three‐dimension space of the problem parameters. Copyright © 2013 John Wiley & Sons, Ltd.

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