Geodesic
Stability radius bounds for the lexicographic optimum of the vector Boolean problem with Savage's risk criteria
Diskretnyj analiz i issledovanie operacij, Tome 18 (2011) no. 2, pp. 41-50

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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. Bibliogr. 12.
Keywords: vector boolean problem, portfolio optimization, mimimax problem, lexicographic optimum, Savage's risk criteria, stability radius.
Mots-clés : perturbation matrix 
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     title = {Stability radius bounds for the lexicographic optimum of the vector {Boolean} problem with {Savage's} risk criteria},
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     publisher = {mathdoc},
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V. A. Emelichev; V. V. Korotkov. Stability radius bounds for the lexicographic optimum of the vector Boolean problem with Savage's risk criteria. Diskretnyj analiz i issledovanie operacij, Tome 18 (2011) no. 2, pp. 41-50. http://geodesic.mathdoc.fr/item/DA_2011_18_2_a3/