Investment Boolean problem with Savage risk criteria under uncertainty

Author:

Bukhtoyarov Sergei E.1,Emelichev Vladimir A.1

Affiliation:

1. Belarusian State University, Faculty of Mathematics and Mechanics, Minsk, Belarus

Abstract

AbstractThe 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.

Publisher

Walter de Gruyter GmbH

Subject

Applied Mathematics,Discrete Mathematics and Combinatorics

Reference102 articles.

1. “On the stability kernel of a multicriteria combinatorial minimax problem”;J. Applied and Industrial Mathematics,2008

2. “Comparison of three approaches to studying stability of solutions to problems of discrete optimization and computational geometry”;J. Applied and Industrial Mathematics,2015

3. “On stability of multicriteria investment Boolean problem with Wald’s efficiency criteria”;Bull. Acad. Sci. Moldova. Mathematics,2014

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