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Diskretnyi Analiz i Issledovanie Operatsii, 2011, Volume 18, Issue 2, Pages 41–50 (Mi da645)  
This article is cited in 5 scientific papers (total in 5 papers)

Stability radius bounds for the lexicographic optimum of the vector Boolean problem with Savage's risk criteria

V. A. Emelichev, V. V. Korotkov

Belarusian State University, Minsk, Belarus
Full-text PDF (262 kB) Citations (5)
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Abstract: We consider a lexicographic Boolean problem of building an investor's portfolio of assets. The goal is to minimize risks using Savage's “bottleneck” (the worst-case regret) criteria. We obtained lower and upper attainable bounds for the stability radius of the lexicographic optimum of the problem in the case with octahedral metric $l_1$ in the portfolios space and Chebyshev metric $l_\infty$ in the risk and financial market conditions space. Bibliogr. 12.
Keywords: vector boolean problem, portfolio optimization, mimimax problem, lexicographic optimum, Savage's risk criteria, perturbation matrix, stability radius.
Received: 13.09.2010
Bibliographic databases:
Document Type: Article
UDC: 519.8
Language: Russian
Citation: V. A. Emelichev, V. V. Korotkov, “Stability radius bounds for the lexicographic optimum of the vector Boolean problem with Savage's risk criteria”, Diskretn. Anal. Issled. Oper., 18:2 (2011), 41–50
Citation in format AMSBIB
\Bibitem{EmeKor11}
\by V.~A.~Emelichev, V.~V.~Korotkov
\paper Stability radius bounds for the lexicographic optimum of the vector Boolean problem with Savage's risk criteria
\jour Diskretn. Anal. Issled. Oper.
\yr 2011
\vol 18
\issue 2
\pages 41--50
\mathnet{http://mi.mathnet.ru/da645}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2841700}
\zmath{https://zbmath.org/?q=an:1249.90163}
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  • https://www.mathnet.ru/eng/da/v18/i2/p41
    • This publication is cited in the following 5 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Дискретный анализ и исследование операций
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    Abstract page:383
    Full-text PDF :75
    References:54
    First page:3
     
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