2020
DOI: 10.1515/dma-2020-0015
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Investment Boolean problem with Savage risk criteria under uncertainty

Abstract: AbstractThe 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.

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Cited by 2 publications
(3 citation statements)
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“…According to the Sevage criterion, the optimal strategy is the one in which the risk value takes the least value in the most unfavorable situation, i.e. (determined by formula ( 7)) [30].…”
Section: Source: [Compiled By the Authors]mentioning
confidence: 99%
“…According to the Sevage criterion, the optimal strategy is the one in which the risk value takes the least value in the most unfavorable situation, i.e. (determined by formula ( 7)) [30].…”
Section: Source: [Compiled By the Authors]mentioning
confidence: 99%
“…The results of the experiments are presented in the table below. In the problems being solved, the suboptimal solution was found by the method given in [2], [9]. Here the number p represents the marked percentage increase in the number f s0 .…”
Section: Results Of the Calculational Experimentsmentioning
confidence: 99%
“…It should be noted that since problem (1)-( 3) is from NP-integer class there are not methods working in real time for its solution in multidimensional case [1], [2], [4], etc.…”
Section: Introductionmentioning
confidence: 99%