Fairness and Efficiency in Multiportfolio Optimization

DOI10.1287/opre.2014.1310zbMath1358.91094OpenAlexW2072519944MaRDI QIDQ2941424

Nikolaos Trichakis, Dan Andrei Iancu

Publication date: 28 August 2015

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/9bcd224432f4dfc52f57345cc4ec2ba4075f683d

zbMATH Keywords

fairnessconvex optimizationportfolio optimizationtransaction costscost sharingmultiportfolio

Mathematics Subject Classification ID

Convex programming (90C25) Applications of mathematical programming (90C90) Portfolio theory (91G10)

Related Items (8)

Equity in genetic newborn screening ⋮ Computing welfare-maximizing fair allocations of indivisible goods ⋮ Pareto robust optimization on Euclidean vector spaces ⋮ Equilibrium selection for multi-portfolio optimization ⋮ Recent advances in robust optimization: an overview ⋮ Robustness of solutions to the capacitated facility location problem with uncertain demand ⋮ Adjustable robust treatment-length optimization in radiation therapy ⋮ Fair Resource Allocation in a Volatile Marketplace

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