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Investment Boolean problem with Savage risk criteria under uncertainty

  • Sergei E. Bukhtoyarov EMAIL logo and Vladimir A. Emelichev
Published/Copyright: June 10, 2020

Abstract

The 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.


Originally published in Diskretnaya Matematika (2019) 31, №2, 20–33 (in Russian).


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Received: 2017-12-26
Revised: 2018-10-18
Published Online: 2020-06-10
Published in Print: 2020-06-25

© 2020 Walter de Gruyter GmbH, Berlin/Boston

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