A bi-level programming approach for global investment strategies with financial intermediation

DOI10.1016/j.ejor.2018.10.009zbMath1430.91082OpenAlexW2896150480WikidataQ129097357 ScholiaQ129097357MaRDI QIDQ1755269

Francisco López-Ramos, Francisco Benita, Stefano Nasini

Publication date: 9 January 2019

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2018.10.009

zbMATH Keywords

optimality conditionsvalid inequalitiesportfolio managementfinancial intermediationbi-level optimization

Mathematics Subject Classification ID

Nonlinear programming (90C30) Optimality conditions and duality in mathematical programming (90C46) Portfolio theory (91G10)

Related Items (5)

Multi-market portfolio optimization with conditional value at risk ⋮ A bi‐level programming framework for identifying optimal parameters in portfolio selection ⋮ Road network pricing and design for ordinary and hazmat vehicles: integrated model and specialized local search ⋮ Bilevel Optimization: Theory, Algorithms, Applications and a Bibliography ⋮ A cooperative bargaining framework for decentralized portfolio optimization

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A DC programming approach for a class of bilevel programming problems and its application in portfolio selection
• Is bilevel programming a special case of a mathematical program with complementarity constraints?
• Solving nonlinear portfolio optimization problems with the primal-dual interior point method
• Handling CVaR objectives and constraints in two-stage stochastic models
• A survey of variants and extensions of the resource-constrained project scheduling problem
• Mean-variance-skewness model for portfolio selection with fuzzy returns
• An MCDM approach to portfolio optimization.
• Foundations of bilevel programming
• The Benders decomposition algorithm: a literature review
• Algorithms for solving the mixed integer two-level linear programming problem
• Recent advances in robust optimization: an overview
• Bilevel decision via variational inequalities
• A mixed R{\&}D projects and securities portfolio selection model
• Conditional value at risk and related linear programming models for portfolio optimization
• 60 years of portfolio optimization: practical challenges and current trends
• Capacitated plant selection in a decentralized manufacturing environment: a bilevel optimization approach
• Worst-case robust decisions for multi-period mean-variance portfolio optimization
• Portfolio Selection with Robust Estimation
• Optimality conditions for the bilevel programming problem
• A Representation and Economic Interpretation of a Two-Level Programming Problem
• Generalized equations and their solutions, part II: Applications to nonlinear programming
• Exact Penalization and Necessary Optimality Conditions for Generalized Bilevel Programming Problems
• Risk, Financial Markets, and Human Capital in a Developing Country
• Bilevel Programming Problems
• Common risk factors in the returns on stocks and bonds

This page was built for publication: A bi-level programming approach for global investment strategies with financial intermediation