Multicriteria variant of Markowitz ’ s invest - ment problem with Savage ’ s minimax risk criteria under uncertainty TUCS
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چکیده
Based on Markowitz’s classical theory we formulate a multicriteria Boolean portfolio optimization problem using Savage’s minimax risk criteria. We obtain lower and upper attainable bounds for stability radius of the Pareto optimal portfolio in the case of metric l1 in the space of portfolios, and metric l∞ in the space of risks.
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تاریخ انتشار 2010