Portfolio problems with two levels decision-makers: optimal portfolio selection with pricing decisions on transaction costs
From MaRDI portal
Publication:2178096
DOI10.1016/j.ejor.2019.12.039zbMath1441.91068arXiv1804.04174OpenAlexW3000512791MaRDI QIDQ2178096
Marina Leal, Justo Puerto, Diego Ponce
Publication date: 7 May 2020
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1804.04174
Related Items
Portfolio problems with two levels decision-makers: optimal portfolio selection with pricing decisions on transaction costs ⋮ Multi-market portfolio optimization with conditional value at risk ⋮ A survey on mixed-integer programming techniques in bilevel optimization ⋮ Adaptive online portfolio selection with transaction costs ⋮ A cooperative bargaining framework for decentralized portfolio optimization
Cites Work
- Unnamed Item
- VaR optimal portfolio with transaction costs
- Kernel search: a new heuristic framework for portfolio selection
- An algebraic approach to integer portfolio problems
- Bilevel programming: a survey
- Partitioning procedures for solving mixed-variables programming problems
- Portfolio selection with transactions costs
- Portfolio optimisation with strictly positive transaction costs and impulse control
- The optimal portfolio problem with coherent risk measure constraints.
- Revisiting \(k\)-sum optimization
- Portfolio problems with two levels decision-makers: optimal portfolio selection with pricing decisions on transaction costs
- Optimal portfolio selection for the small investor considering risk and transaction costs
- Linear and mixed integer programming for portfolio optimization
- Portfolio-optimization models for small investors
- Portfolio optimization with linear and fixed transaction costs
- 60 years of portfolio optimization: practical challenges and current trends
- Twenty years of linear programming based portfolio optimization
- Optimization of a long-short portfolio under nonconvex transaction cost
- OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
- DC programming approach for portfolio optimization under step increasing transaction costs
- Computability of global solutions to factorable nonconvex programs: Part I — Convex underestimating problems
- Technical Note—A Robust Perspective on Transaction Costs in Portfolio Optimization
- Portfolio Selection with Transaction Costs
- Bilevel programming and price setting problems
- Selecting portfolios with fixed costs and minimum transaction lots