concave programming

Existence of Competitive Equilibrium in Piecewise Linear and Concave Exchange Economies and the non-symmetric Nash Bargaining Solution

  • Somdeb Lahiri
    • Categories Finance and Economics, Game Theory Tags , , , ,

    In this paper we show that for concave piecewise linear exchange economies every competitive equilibrium satisfies the property that the competitive allocation is a non-symmetric Nash bargaining solution with weights being the initial income of individual agents evaluated at the equilibrium price vector. We prove the existence of competitive equilibrium for concave piecewise linear exchange … Read more

    A concave optimization-based approach for sparse portfolio selection

  • David Di Lorenzo
  • Giampaolo Liuzzi
  • Francesco Rinaldi
  • Fabio Schoen
  • Marco Sciandrone
    • Categories Constrained Nonlinear Optimization, Finance and Economics, Stochastic Approaches Tags , , ,

    This paper considers a portfolio selection problem in which portfolios with minimum number of active assets are sought. This problem is motivated by the need of inducing sparsity on the selected portfolio to reduce transaction costs, complexity of portfolio management, and instability of the solution. The resulting problem is a difficult combinatorial problem. We propose … Read more