Portfolio problems with two levels decision-makers : optimal portfolio selection with pricing decisions on transaction costs
Year of publication: |
2020
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Authors: | Leal, Marina ; Ponce, Diego ; Puerto, Justo |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 284.2020, 2 (16.7.), p. 712-727
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Subject: | Bilevel optimization | Conditional Value at Risk (CVaR) | Finance | Portfolio optimization | Transaction costs | Theorie | Theory | Portfolio-Management | Portfolio selection | Transaktionskosten | Risikomaß | Risk measure | Mathematische Optimierung | Mathematical programming | Preismanagement | Pricing strategy |
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