Post‐optimal Analysis for Markowitz's Multicriteria Portfolio Optimization Problem | Zendy

Emelichev Vladimir | Zendy; Korotkov Vladimir | Zendy; Nikulin Yury | Zendy

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Post‐optimal Analysis for Markowitz's Multicriteria Portfolio Optimization Problem

Author(s) -

Emelichev Vladimir,

Korotkov Vladimir,

Nikulin Yury

Publication year - 2013

Publication title -

journal of multi‐criteria decision analysis

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.462

H-Index - 47

eISSN - 1099-1360

pISSN - 1057-9214

DOI - 10.1002/mcda.1492

Subject(s) - portfolio optimization , minimax , lexicographical order , mathematical optimization , portfolio , metric (unit) , stability (learning theory) , dimension (graph theory) , mathematics , efficient frontier , modern portfolio theory , mathematical economics , computer science , economics , combinatorics , operations management , financial economics , machine learning

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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