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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
ABSTRACT 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.