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.
Dettaglio pubblicazione
2024, Optimization in Green Sustainability and Ecological Transition, Pages 179-187
Dealing with Inexactness in Hierarchical Multi-portfolio Selection (02a Capitolo o Articolo)
Lampariello L., Sagratella S., Sasso V. G.
ISBN: 9783031476853; 9783031476860
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