Fairness and efficiency in multiportfolio optimization

DOI10.1287/OPRE.2014.1310MaRDI QIDQ2941424zbMATH OpenOpenAlexFDO

Authors Dan Andrei Iancu, Nikolaos Trichakis

Publication date 28 August 2015

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/9bcd224432f4dfc52f57345cc4ec2ba4075f683d

zbMATH Keywords

fairnessconvex optimizationportfolio optimizationtransaction costscost sharingmultiportfolio

Mathematics Subject Classification ID

Convex programming (90C25) Applications of mathematical programming (90C90) Portfolio theory (91G10)

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Cited in

(13)

• Adjustable robust treatment-length optimization in radiation therapy
• Equilibrium selection for multi-portfolio optimization
• Information pooling game in multi-portfolio optimization
• Fair resource allocation in a volatile marketplace
• Recent advances in robust optimization: an overview
• Nonsmooth hierarchical multi portfolio selection
• Computing welfare-maximizing fair allocations of indivisible goods
• Fairness by design in shared-energy allocation problems
• Equity in genetic newborn screening
• Pareto robust optimization on Euclidean vector spaces
• A distributed primal-dual hybrid gradient algorithm for fair resource allocation
• Robustness of solutions to the capacitated facility location problem with uncertain demand
• A Stackelberg order execution game

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