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

Vladimir Korotkov; Vladimir Emelichev; Yury Nikulin

doi:10.3934/jimo.2019003

Article Contents

2020, Volume 16, Issue 3: 1297-1310. Doi: 10.3934/jimo.2019003

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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

^* Corresponding author: vladimir.korotkov08@gmail.com
^* Corresponding author: vladimir.korotkov08@gmail.com

Received: June 2017

Revised: November 2018

Early access: March 2019

Published: March 2020

Abstract / Introduction Full Text(HTML) Figure(6) / Table(1) Related Papers Cited by

Abstract

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.

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

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

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

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

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

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

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

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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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