We address the multi-portfolio selection problem where two decision-making levels are considered: account owners and managers play different Nash Equilibrium Problems. We rely on a Tikhonov approach allowing for inexactness to obtain approximate solutions. We corroborate our analysis with numerical results.

Dealing with Inexactness in Hierarchical Multi-portfolio Selection

Sagratella S.;
2024-01-01

Abstract

We address the multi-portfolio selection problem where two decision-making levels are considered: account owners and managers play different Nash Equilibrium Problems. We rely on a Tikhonov approach allowing for inexactness to obtain approximate solutions. We corroborate our analysis with numerical results.
2024
9783031476853
Generalised Nash Equilibrium Problems
Hierarchical Programs
Tikhonov Method
Inexact Equilibria
Multi-Portfolio Selection
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.12606/26569
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 0
social impact