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JOURNALS // Diskretnaya Matematika // Archive

Diskr. Mat., 2019 Volume 31, Issue 2, Pages 20–33 (Mi dm1491)

This article is cited 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.

UDC: 519.8

Received: 26.12.2017
Revised: 18.10.2018

DOI: 10.4213/dm1491


 English version:
Discrete Mathematics and Applications, 2020, 30:3, 159–168

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