Nonsmooth hierarchical multi portfolio selection

DOI10.1007/978-3-031-28863-0_4MaRDI QIDQ6619757zbMATH OpenFDO

Authors Lorenzo Lampariello, Simone Sagratella, Valerio Giuseppe Sasso

Publication date 16 October 2024

Full work available at URL https://doi.org/10.1007/978-3-031-28863-0_4

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

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Cites work

• A new method for mean-variance portfolio optimization with cardinality constraints
• An explicit Tikhonov algorithm for nested variational inequalities
• Equilibrium selection for multi-portfolio optimization
• Fairness and efficiency in multiportfolio optimization
• Finite-Dimensional Variational Inequalities and Complementarity Problems
• Generalized variational inequalities
• Multi-Portfolio Optimization: A Potential Game Approach
• On generalized Nash games and variational inequalities
• On the computation of all solutions of jointly convex generalized Nash equilibrium problems
• Partial penalization for the solution of generalized Nash equilibrium problems
• The Generalized Quasi-Variational Inequality Problem
• Variational Analysis
• VI-constrained hemivariational inequalities: distributed algorithms and power control in ad-hoc networks

Cited in

(3)

• A bilevel approach to ESG multi-portfolio selection
• On Nested Affine Variational Inequalities: The Case of Multi-Portfolio Selection
• Addressing hierarchical jointly convex generalized Nash equilibrium problems with nonsmooth payoffs

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