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