Jacopo Maria Ricci

An explicit Tikhonov algorithm for nested variational inequalities

  • Lorenzo Lampariello
  • Christoph Neumann
  • Simone Sagratella
  • Oliver Stein
  • Jacopo Maria Ricci
    • Categories Complementarity and Variational Inequalities, Convex Optimization

    We consider nested variational inequalities consisting in a (upper-level) variational inequality whose feasible set is given by the solution set of another (lower-level) variational inequality. Purely hierarchical convex bilevel optimization problems and certain multi-follower games are particular instances of nested variational inequalities. We present an explicit and ready-to-implement Tikhonov-type solution method for such problems. We … Read more

    Equilibrium selection for multi-portfolio optimization

  • Lorenzo Lampariello
  • Christoph Neumann
  • Simone Sagratella
  • Oliver Stein
  • Jacopo Maria Ricci
    • Categories Complementarity and Variational Inequalities, Finance and Economics Tags , , , ,

    This paper studies a Nash game arising in portfolio optimization. We introduce a new general multi-portfolio model and state sufficient conditions for the monotonicity of the underlying Nash game. This property allows us to treat the problem numerically and, for the case of nonunique equilibria, to solve hierarchical problems of equilibrium selection. We also give … Read more