scientific article; zbMATH DE number 2169231

MaRDI QIDQ4675427zbMATH OpenFDO

Authors V. V. Rutyts'ka

Publication date 20 May 2005

zbMATH Keywords

coefficients of sensitivityinvestment managementoptimum weight factorsportfolio of securitiessensitivity analysis

Mathematics Subject Classification ID

Recommendations

• HYPER SENSITIVITY ANALYSIS OF PORTFOLIO OPTIMIZATION PROBLEMS
• On the stability measure of solutions to a vector version of an investment problem
• Stability analysis of Pareto optimal portfolio of multicriteria investment maximin problem in the Hölder metric
• Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection
• Stability of the bicriteria Boolean investment problem subject to extreme optimism and pessimism criteria

Cited in

(7)

• Analytical solution for an investment problem under uncertainties with shocks
• Deterministic versus stochastic sensitivity analysis in investment problems: An environmental case study
• Stability and accuracy of RBF direct method for solving a dynamic investment model
• HYPER SENSITIVITY ANALYSIS OF PORTFOLIO OPTIMIZATION PROBLEMS
• scientific article; zbMATH DE number 842101 (Why is no real title available?)
• scientific article; zbMATH DE number 5589690 (Why is no real title available?)
• Stability analysis of portfolio management with conditional value-at-risk

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