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

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  • 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.

    Mathematics Subject Classification: Primary: 90B50, 90C29; Secondary: 90C31.


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  • Figure 1.  Values for $\varphi^s_1(x^0,m,p,\infty,\infty)$

    Figure 2.  Values for $\psi^s_1(x^0,m,p,\infty,\infty)$

    Figure 3.  Values for $\varphi^s_2(x^0,m,\infty,p,\infty)$

    Figure 4.  Values for $\psi^s_2(x^0,m,\infty,p,\infty)$

    Figure 5.  Values for $\varphi^s_3(x^0,m,\infty,\infty,p)$

    Figure 6.  Values for $\psi^s_3(x^0,m,\infty,\infty,p)$

    Table 1.  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
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