Please use this identifier to cite or link to this item: http://hdl.handle.net/1783.1/55908

Multi-portfolio optimization: A potential game approach

Authors Yang, Y.
Rubio, F.
Scutari, G. HKUST affiliated (currently or previously)
Palomar, D. View this author's profile
Issue Date 2012
Source Lecture Notes of the Institute for Computer Sciences, Social-Informatics and Telecommunications Engineering , v. 75, 2012, p. 182-189
Summary 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. © 2012 ICST Institute for Computer Science, Social Informatics and Telecommunications Engineering.
ISSN 1867-8211
ISBN 9783642303722
Language English
Format Conference paper
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