Volume 18, No 2, 2011, P. 41-50
V. A. Emelichev, V. V. Korotkov
Stability radius bounds for the lexicographic optimum of the vector boolean problem with Savage’s risk criteria
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 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.
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
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