Portfolio problems with two levels decision-makers: Optimal portfolio selection with pricing decisions on transaction costs

This paper presents novel bilevel leader-follower portfolio selection problems in which the financial intermediary becomes a decision-maker. This financial intermediary decides on the unit transaction costs for investing in some securities, maximizing its benefits, and the investor chooses his optim...

ver descrição completa

Detalhes bibliográficos
Autores: Leal Palazón, Marina, Ponce López, Diego, Puerto Albandoz, Justo
Formato: artículo
Estado:Versión aceptada para publicación
Fecha de publicación:2019
País:España
Recursos:Universidad de Sevilla (US)
Repositorio:idUS. Depósito de Investigación de la Universidad de Sevilla
OAI Identifier:oai:dnet:idus________::5163a3e07a8bb78173d95f9fa78ccf23
Acesso em linha:https://hdl.handle.net/11441/162807
Access Level:acceso abierto
Palavra-chave:Finance
Portfolio Optimization
Bilevel Optimization
Transaction Costs
Conditional Value at Risk (CVaR)
id ES_ae89499209843307a751660f202c7ee0
oai_identifier_str oai:dnet:idus________::5163a3e07a8bb78173d95f9fa78ccf23
network_acronym_str ES
network_name_str España
repository_id_str
spelling Portfolio problems with two levels decision-makers: Optimal portfolio selection with pricing decisions on transaction costsLeal Palazón, MarinaPonce López, DiegoPuerto Albandoz, JustoFinancePortfolio OptimizationBilevel OptimizationTransaction CostsConditional Value at Risk (CVaR)This paper presents novel bilevel leader-follower portfolio selection problems in which the financial intermediary becomes a decision-maker. This financial intermediary decides on the unit transaction costs for investing in some securities, maximizing its benefits, and the investor chooses his optimal portfolio, minimizing risk and ensuring a given expected return. Hence, transaction costs become decision variables in the portfolio problem, and two levels of decision-makers are incorporated: the financial intermediary and the investor. These situations give rise to general Nonlinear Programming formulations in both levels of the decision process. We present different bilevel versions of the problem: financial intermediary-leader, investor-leader, and social welfare; besides, their properties are analyzed. Moreover, we develop Mixed Integer Linear Programming formulations for some of the proposed problems and effective algorithms for some others. Finally, we report on some computational experiments performed on data taken from the Dow Jones Industrial Average, and analyze and compare the results obtained by the different models.ElsevierUniversidad de Sevilla. Departamento de Estadística e Investigación OperativaUniversidad de Sevilla. FQM331: Métodos y Modelos de la Estadística y la Investigación Operativa202420242019info:eu-repo/semantics/articleinfo:eu-repo/semantics/acceptedVersionapplication/pdfapplication/pdfhttps://hdl.handle.net/11441/162807reponame:idUS. Depósito de Investigación de la Universidad de Sevillainstname:Universidad de Sevilla (US)InglésEuropean Journal of Operational Research, 284 (2), 712-727.https://doi.org/10.1016/j.ejor.2019.12.039info:eu-repo/semantics/openAccessoai:dnet:idus________::5163a3e07a8bb78173d95f9fa78ccf232025-07-17T12:48:51Z
dc.title.none.fl_str_mv Portfolio problems with two levels decision-makers: Optimal portfolio selection with pricing decisions on transaction costs
title Portfolio problems with two levels decision-makers: Optimal portfolio selection with pricing decisions on transaction costs
spellingShingle Portfolio problems with two levels decision-makers: Optimal portfolio selection with pricing decisions on transaction costs
Leal Palazón, Marina
Finance
Portfolio Optimization
Bilevel Optimization
Transaction Costs
Conditional Value at Risk (CVaR)
title_short Portfolio problems with two levels decision-makers: Optimal portfolio selection with pricing decisions on transaction costs
title_full Portfolio problems with two levels decision-makers: Optimal portfolio selection with pricing decisions on transaction costs
title_fullStr Portfolio problems with two levels decision-makers: Optimal portfolio selection with pricing decisions on transaction costs
title_full_unstemmed Portfolio problems with two levels decision-makers: Optimal portfolio selection with pricing decisions on transaction costs
title_sort Portfolio problems with two levels decision-makers: Optimal portfolio selection with pricing decisions on transaction costs
dc.creator.none.fl_str_mv Leal Palazón, Marina
Ponce López, Diego
Puerto Albandoz, Justo
author Leal Palazón, Marina
author_facet Leal Palazón, Marina
Ponce López, Diego
Puerto Albandoz, Justo
author_role author
author2 Ponce López, Diego
Puerto Albandoz, Justo
author2_role author
author
dc.contributor.none.fl_str_mv Universidad de Sevilla. Departamento de Estadística e Investigación Operativa
Universidad de Sevilla. FQM331: Métodos y Modelos de la Estadística y la Investigación Operativa
dc.subject.none.fl_str_mv Finance
Portfolio Optimization
Bilevel Optimization
Transaction Costs
Conditional Value at Risk (CVaR)
topic Finance
Portfolio Optimization
Bilevel Optimization
Transaction Costs
Conditional Value at Risk (CVaR)
description This paper presents novel bilevel leader-follower portfolio selection problems in which the financial intermediary becomes a decision-maker. This financial intermediary decides on the unit transaction costs for investing in some securities, maximizing its benefits, and the investor chooses his optimal portfolio, minimizing risk and ensuring a given expected return. Hence, transaction costs become decision variables in the portfolio problem, and two levels of decision-makers are incorporated: the financial intermediary and the investor. These situations give rise to general Nonlinear Programming formulations in both levels of the decision process. We present different bilevel versions of the problem: financial intermediary-leader, investor-leader, and social welfare; besides, their properties are analyzed. Moreover, we develop Mixed Integer Linear Programming formulations for some of the proposed problems and effective algorithms for some others. Finally, we report on some computational experiments performed on data taken from the Dow Jones Industrial Average, and analyze and compare the results obtained by the different models.
publishDate 2019
dc.date.none.fl_str_mv 2019
2024
2024
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/acceptedVersion
format article
status_str acceptedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/11441/162807
url https://hdl.handle.net/11441/162807
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv European Journal of Operational Research, 284 (2), 712-727.
https://doi.org/10.1016/j.ejor.2019.12.039
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:idUS. Depósito de Investigación de la Universidad de Sevilla
instname:Universidad de Sevilla (US)
instname_str Universidad de Sevilla (US)
reponame_str idUS. Depósito de Investigación de la Universidad de Sevilla
collection idUS. Depósito de Investigación de la Universidad de Sevilla
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1844179992867504128
score 15,638193

Registos relacionados