What are the binding sites (or receptors) of cortisol?
The intracellular receptor for cortisol is called NR3C1.
http://www.uniprot.org/uniprot/P04150

To my knowledge, a direct (competitive) effect of anabolic steroids on the binding of cortisol to NR3C1 has never been proven. The anabolic effects can easily be explained by other targets. A good starting point for further reading might be this review:
https://www.ncbi.nlm.nih.gov/pubmed/22101547