On Nested Affine Variational Inequalities: The Case of Multi-Portfolio Selection

DOI10.1007/978-3-030-95380-5_3MaRDI QIDQ6165042zbMATH OpenOpenAlexFDO

Authors Lorenzo Lampariello, Gianluca Priori, Simone Sagratella

Publication date 31 July 2023

Published in AIRO Springer Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-95380-5_3

zbMATH Keywords

complexity analysismulti-portfolio selectionnested variational inequalitypurely hierarchical problemTikhonov method

Mathematics Subject Classification ID

Variational inequalities (49J40) Portfolio theory (91G10)

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Cites work

• An explicit Tikhonov algorithm for nested variational inequalities
• Equilibrium selection for multi-portfolio optimization
• Finite-Dimensional Variational Inequalities and Complementarity Problems
• Generalized Nash equilibrium problems
• On the solution of monotone nested variational inequalities
• VI-constrained hemivariational inequalities: distributed algorithms and power control in ad-hoc networks

Cited in

(3)

• Multiple Constraints and Hicksian Complementarity: A Generalization and an Application to Portfolio Choice
• Nonsmooth hierarchical multi portfolio selection
• Generalized two-step inertial parallel subgradient extragradient method for common solutions of bilevel variational inequality problems

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