Decision making by bi-level model of portfolio optimization

New formal definition of the portfolio optimization problem is presented in the form of bi-level one. This bi-level formulation integrates the two general forms of the portfolio optimization for maximizing Return and minimizing Risk. Peculiarities of this new formulation are discussed and graphical interpretations are applied. Comparison with modified Sharpe portfolio problem is presented. The bi-level model is assessed with real data of assets from Bulgarian Stock Exchange.