Bilevel Models in Portfolio Selection Problems

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F23%3A10472216" target="_blank" >RIV/00216208:11320/23:10472216 - isvavai.cz</a>
Result on the web
<a href="https://mme2023.vse.cz/mme_2023_proceedings.pdf" target="_blank" >https://mme2023.vse.cz/mme_2023_proceedings.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Bilevel Models in Portfolio Selection Problems
Original language description
This paper deals with bilevel optimization problem in which we want to minimize transaction costs which are proportional and we want to have our portfolio mean-risk efficient. As a measure of risk we consider Conditional Value-at-Risk. The bilevel optimization problem is presented, reformulations of the problem according to the probability distribution are described as well. The goal of the paper is to present reduction of bilevel optimization problem to a single level optimization problem and to show equivalence between these two types of reduction.
Czech name
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Czech description
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Project
<a href="/en/project/GX19-28231X" target="_blank" >GX19-28231X: DyMoDiF - Dynamic Models for the Digital Finance</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2023
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 41st International Conference on Mathematical Methods in Economics
ISBN
978-80-11-04132-8
ISSN
2788-3965
e-ISSN
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Number of pages
6
Pages from-to
186-191
Publisher name
COLL POLYTECHNICS JIHLAVA
Place of publication
Prague
Event location
Praha
Event date
Sep 13, 2023
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
001551108000031

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