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 / Lampariello, L.; Sagratella, S.; Sasso, V. G.. - (2024), pp. 179-187. [10.1007/978-3-031-47686-0_16].
Dealing with Inexactness in Hierarchical Multi-portfolio Selection
Lampariello L.;Sagratella S.;Sasso V. G.
2024
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.File allegati a questo prodotto
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