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Diskretnaya Matematika, 2019, Volume 31, Issue 2, Pages 20–33
DOI: https://doi.org/10.4213/dm1491 (Mi dm1491) 		 
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
Full-text PDF (494 kB) Citations (1)
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DOI: https://doi.org/10.4213/dm1491
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
English version:
Discrete Mathematics and Applications, 2020, Volume 30, Issue 3, Pages 159–168
DOI: https://doi.org/10.1515/dma-2020-0015
Bibliographic databases:
Document Type: Article
UDC: 519.8
Language: Russian
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
Citation in format AMSBIB
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    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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