Emelichev, V. A.; Korotkov, V. V. Estimates for the radius of stability for the lexicographic optimum of the vector Boolean problem with Savage’s risk criteria. (Russian) Zbl 1249.90163 Diskretn. Anal. Issled. Oper. 18, No. 2, 41-50 (2011). 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. Cited in 2 Documents MSC: 90C09 Boolean programming Keywords:vector Boolean problem; portfolio optimization; minimax problem; lexicographic optimum; Savage risk criteria; perturbation matrix; stability radius PDF BibTeX XML Cite \textit{V. A. Emelichev} and \textit{V. V. Korotkov}, Diskretn. Anal. Issled. Oper. 18, No. 2, 41--50 (2011; Zbl 1249.90163)