Stability Analysis of Efficient Portfolios in a Discrete Variant of Multicriteria Investment Problem with Savage's Risk Criteria

Abstract

We consider a multicriteria discrete variant of investment portfolio optimization problem with Savage's risk criteria. Three combinations of norms in problem parameter spaces are considered. In each combination, one of the three spaces is endowed with H\"{o}lder's norm, and the other two spaces are endowed with Chebyshev's norm. The lower and upper attainable bounds on the stability radius of one Pareto optimal portfolio are obtained.

Keywords

• Multicriteria problem
• Pareto optimal portfolio
• Savage's risk criteria
• stability radius
• Holder's norms