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May  2020, 16(3): 1297-1310. doi: 10.3934/jimo.2019003

## Multicriteria investment problem with Savage's risk criteria: Theoretical aspects of stability and case study

 1 Economics and Management School, University of Chinese Academy of Sciences, 100190 Beijing, China 2 Faculty of Mechanics and Mathematics, Belarusian State University, 220030 Minsk, Belarus 3 Department of Mathematics and Statistics, University of Turku, 20014 Turku, Finland

Received  June 2017 Revised  November 2018 Published  March 2019

A discrete variant of a multicriteria investment portfolio optimization problem with Savage's risk criteria is considered. One of the three problem parameter spaces is endowed with Hölder's norm, and the other two are endowed with Chebyshev's norm. The lower and upper attainable bounds on the stability radius of one Pareto optimal portfolio are obtained. We illustrate the application of our theoretical results by modeling a relevant case study.

Citation: Vladimir Korotkov, Vladimir Emelichev, Yury Nikulin. Multicriteria investment problem with Savage's risk criteria: Theoretical aspects of stability and case study. Journal of Industrial & Management Optimization, 2020, 16 (3) : 1297-1310. doi: 10.3934/jimo.2019003
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##### References:
Values for $\varphi^s_1(x^0,m,p,\infty,\infty)$
Values for $\psi^s_1(x^0,m,p,\infty,\infty)$
Values for $\varphi^s_2(x^0,m,\infty,p,\infty)$
Values for $\psi^s_2(x^0,m,\infty,p,\infty)$
Values for $\varphi^s_3(x^0,m,\infty,\infty,p)$
Values for $\psi^s_3(x^0,m,\infty,\infty,p)$
Value function for portfolios
 a b c d e f g h CSME 81 63 110 102 79 161 168 61 EAEU 120 68 155 92 137 149 231 90 MERCOSUR 144 50 186 100 124 152 146 119 GCC 125 58 182 192 125 136 254 116 SICA 58 66 171 94 126 139 323 106
 a b c d e f g h CSME 81 63 110 102 79 161 168 61 EAEU 120 68 155 92 137 149 231 90 MERCOSUR 144 50 186 100 124 152 146 119 GCC 125 58 182 192 125 136 254 116 SICA 58 66 171 94 126 139 323 106
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