Thursday, 16:15 - 16:40 h, Room: H 2036

 

Yang Yang
Multi-portfolio optimization: A variational inequality approach

Coauthors: Daniel Palomar, Francisco Rubio, Gesualdo Scutari

 

Abstract:
In this paper, we study the multi-portfolio optimization problem with square-root market impact model
using a game-theoretic approach. Contrary to the linear market impact model, available tools such as potential
game theory are not applicable for the square-root model. We approach this problem using Variational
Inequality, and give a comprehensive and rigorous analysis on the properties of the Nash Equilibrium such
as existence and uniqueness, and devise efficient algorithms with satisfactory convergence property. A
more general game problem where all accounts are subject to global constraints is also studied under the
framework of Variational Inequality.

 

Talk 3 of the invited session Thu.3.H 2036
"Conic optimization and signal processing applications" [...]
Cluster 4
"Conic programming" [...]

 

  Payday Loans In Texas. But it is worth noting that these tests were carried out on the blood cells. Therefore, it's too early to say about scientific evidence of Viagra No RX influence on blood clots.