| Article ID: | iaor201524536 |
| Volume: | 21 |
| Issue: | 1-2 |
| Start Page Number: | 95 |
| End Page Number: | 100 |
| Publication Date: | Jan 2014 |
| Journal: | Journal of Multi-Criteria Decision Analysis |
| Authors: | Nikulin Yury, Emelichev Vladimir, Korotkov Vladimir |
| Keywords: | minimax problem, portfolio optimization, sensitivity analysis |
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