Abstract
Trades from separately managed accounts are usually pooled together for execution and the transaction cost for a given account may depend on the overall level of trading. Multi-portfolio optimization is a technique for combing multiple accounts at the same time, considering their joint effects while adhering to account-specific constraints. In this paper, we model multi-portfolio optimization as a game problem and adopt as a desirable objective the concept of Nash Equilibrium (NE). By formulating the game problem as a potential game, we are able to provide a complete characterization of NE and derive iterative algorithms with a distributed nature and satisfactory convergence property.
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© 2012 ICST Institute for Computer Science, Social Informatics and Telecommunications Engineering
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Yang, Y., Rubio, F., Scutari, G., Palomar, D. (2012). Multi-portfolio Optimization: A Potential Game Approach. In: Jain, R., Kannan, R. (eds) Game Theory for Networks. GameNets 2011. Lecture Notes of the Institute for Computer Sciences, Social Informatics and Telecommunications Engineering, vol 75. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-30373-9_13
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DOI: https://doi.org/10.1007/978-3-642-30373-9_13
Publisher Name: Springer, Berlin, Heidelberg
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