Volume 18, No 2, 2011, P. 4150
UDC 519.8
V. A. Emelichev, V. V. Korotkov
Stability radius bounds for the lexicographic optimum of the vector boolean problem with Savage’s risk criteria
Abstract:
We consider a lexicographic Boolean problem of building an investor's portfolio of assets. The goal is to minimize risks using Savage's “bottleneck” (the worstcase 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.
Bibliogr. 12.
Keywords: vector boolean problem, portfolio optimization, mimimax problem, lexicographic optimum, Savage’s risk criteria, perturbation matrix, stability radius.
Emelichev Vladimir Alekseevich ^{1}
Korotkov Vladimir Vladimirovich ^{1}
1. Belarusian State University,
4 Nezavisimosti ave., 220030 Minsk, Belarus
email: emelichev@bsu.by, emelichev@tut.by, wladko@tut.by
