Equilibrium selection for multi-portfolio optimization
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Publication:2239878
DOI10.1016/j.ejor.2021.02.033zbMath1487.91120OpenAlexW3129450051MaRDI QIDQ2239878
Christoph Neumann, Oliver Stein, Lorenzo Lampariello, Simone Sagratella, Jacopo Maria Ricci
Publication date: 5 November 2021
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2021.02.033
game theoryvariational inequalitiesportfolio selectionhierarchical optimizationNash equilibrium problem
Noncooperative games (91A10) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Portfolio theory (91G10)
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