Portfolio problems with two levels decision-makers: optimal portfolio selection with pricing decisions on transaction costs

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

zbMATH Keywords

portfolio optimizationtransaction costsfinancebilevel optimizationconditional value at risk (CVaR)

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Nonlinear programming (90C30) Portfolio theory (91G10)

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

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