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A numerical algorithm for finding solutions of a generalized Nash equilibrium problem

Author

Listed:
  • Luiz Matioli

    ()

  • Wilfredo Sosa

    ()

  • Jinyun Yuan

    ()

Abstract

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Suggested Citation

  • Luiz Matioli & Wilfredo Sosa & Jinyun Yuan, 2012. "A numerical algorithm for finding solutions of a generalized Nash equilibrium problem," Computational Optimization and Applications, Springer, vol. 52(1), pages 281-292, May.
  • Handle: RePEc:spr:coopap:v:52:y:2012:i:1:p:281-292 DOI: 10.1007/s10589-011-9407-1
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    References listed on IDEAS

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    1. Guastaroba, Gianfranco & Mansini, Renata & Speranza, M. Grazia, 2009. "On the effectiveness of scenario generation techniques in single-period portfolio optimization," European Journal of Operational Research, Elsevier, vol. 192(2), pages 500-511, January.
    2. Alexandra Künzi-Bay & János Mayer, 2006. "Computational aspects of minimizing conditional value-at-risk," Computational Management Science, Springer, pages 3-27.
    3. Renata Mansini & Włodzimierz Ogryczak & M. Speranza, 2007. "Conditional value at risk and related linear programming models for portfolio optimization," Annals of Operations Research, Springer, vol. 152(1), pages 227-256, July.
    4. Miller, Naomi & Ruszczynski, Andrzej, 2008. "Risk-adjusted probability measures in portfolio optimization with coherent measures of risk," European Journal of Operational Research, Elsevier, vol. 191(1), pages 193-206, November.
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