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This article is cited in 1 scientific paper (total in 1 paper)
Investment Boolean problem with Savage risk criteria under uncertainty
V. A. Emelichev, S. E. Bukhtoyarov Belarusian State University
Abstract:
The portfolio theory is used to formulate a multicriteria investment Boolean escaped gain minimization problem for searching all extreme portfolios. Stability aspects of this set against perturbed parameters of minimax Savage criteria are studied. We give lower and upper estimates for the stability radius for arbitrary Hölder norms on the three-dimensional space of initial data.
Keywords:
multicriteriality, investment Boolean problem, risks, collectively extremal set, extreme portfolio, stability radius of the problem, Hölder norm.
Received: 26.12.2017 Revised: 18.10.2018
Citation:
V. A. Emelichev, S. E. Bukhtoyarov, “Investment Boolean problem with Savage risk criteria under uncertainty”, Diskr. Mat., 31:2 (2019), 20–33; Discrete Math. Appl., 30:3 (2020), 159–168
Linking options:
https://www.mathnet.ru/eng/dm1491https://doi.org/10.4213/dm1491 https://www.mathnet.ru/eng/dm/v31/i2/p20
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Abstract page: | 334 | Full-text PDF : | 19 | References: | 29 | First page: | 21 |
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