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Estimates for the radius of stability for the lexicographic optimum of the vector Boolean problem with Savage’s risk criteria. (Russian) Zbl 1249.90163
Summary: We consider the 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.

MSC:
90C09 Boolean programming
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