Geodesic
Investment Boolean problem with Savage risk criteria under uncertainty
Diskretnaya Matematika, Tome 31 (2019) no. 2, pp. 20-33

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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.
Keywords: multicriteriality, investment Boolean problem, risks, collectively extremal set, extreme portfolio, stability radius of the problem, Hölder norm. 
@article{DM_2019_31_2_a2,
     author = {V. A. Emelichev and S. E. Bukhtoyarov},
     title = {Investment {Boolean} problem with {Savage} risk criteria under uncertainty},
     journal = {Diskretnaya Matematika},
     pages = {20--33},
     publisher = {mathdoc},
     volume = {31},
     number = {2},
     year = {2019},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/DM_2019_31_2_a2/}
}
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V. A. Emelichev; S. E. Bukhtoyarov. Investment Boolean problem with Savage risk criteria under uncertainty. Diskretnaya Matematika, Tome 31 (2019) no. 2, pp. 20-33. http://geodesic.mathdoc.fr/item/DM_2019_31_2_a2/