Portfolio problems with two levels decision-makers: optimal portfolio selection with pricing decisions on transaction costs (Q2178096)
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scientific article; zbMATH DE number 7197923
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| English | Portfolio problems with two levels decision-makers: optimal portfolio selection with pricing decisions on transaction costs |
scientific article; zbMATH DE number 7197923 |
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Portfolio problems with two levels decision-makers: optimal portfolio selection with pricing decisions on transaction costs (English)
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7 May 2020
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finance
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portfolio optimization
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bilevel optimization
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transaction costs
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conditional value at risk (CVaR)
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0.7899942398071289
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0.7749426960945129
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0.772807240486145
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0.7719648480415344
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0.7703564763069153
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