Recherche de conclusions robustes dans une problématique de placements financiers en environnement incertain

In this analysis, we seek robust conclusions and solutions in an investment problem under budgetary constraint and uncertainty. The concept of robustness is given by the Savage criterion. Uncertainty comes from ignorance of profitability rates of the investments (or placements), on a fixed horizon. They can have positive or negative values. The impact of the criterion on the choice of the policies appears interesting comparing the usual practice. The following conclusions are obtained: 1. An optimal solution for a fixed set of profitability rates is not robust 2. No investment is not a “robust” policy 3. When the maximum rate of loss is higher than the maximum rate of profit, a. The overall consumption of the budget is not a robust policy, taking into account the criterion that does not seem astonishing, but, b. To obtain a robust policy, it is necessary to invest in the two cheaper placements (only one or both). 4. Although the unit costs of the placements are supposed to be given, it is useless to evaluate the cost of the most expensive placements; they are not taken into account in the decision.