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" [...]

 

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