SOCIAL AND ECONOMIC SYSTEMS MANAGEMENT

Stability of the discrete problems under uncertainty: problem of formation of a financial investment portfolio

Yu. S. Belotserkovskaya

Gubkin Russian State University of Oil and Gas

Abstract: The well-known problem with interval weight function is considered as a mathematical model of the optimization problem of the financial investment portfolio for practical use in the economy. Two objective functions are introduced as the main performance indicators: the value of the expected profit and the risk value. The expected profit of investment objects is defined as an interval. Two types of disturbance of initial data such as interval addition of the initial disturbance weight and simultaneous perturbation interval boundaries, which cannot derive the original problem from the class of interval problems, are introduced. For each type of disturbance quantitative characteristics of stability as a stability radius that means, for example, an assessment of inflation, are obtained.

Keywords: Pareto set, financial investment portfolio, objective function, Pareto optimum, vector objective function, interval weight function, perturbation set, interval problem, radius of the stability.

UDC: 336.76:004.382
BBK: 65.263.12с515

Received: 01.06.2013
Revised: 20.06.2013