an:06007894
Zbl 1249.90163
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
RU
Diskretn. Anal. Issled. Oper. 18, No. 2, 41-50 (2011).
00295643
2011
j
90C09
vector Boolean problem; portfolio optimization; minimax problem; lexicographic optimum; Savage risk criteria; perturbation matrix; stability radius
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.