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

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

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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: , ,
Keywords: minimax problem, portfolio optimization, sensitivity analysis
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 l1 in three‐dimension space of the problem parameters.

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