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" [...]

 

  Illinois Loans Online should not be obtained by people who do not have the capacity to repay the lenders. Therefore, we can say that the active substances in its composition are more perfectly mixed. Vardenafil is not only present in the original Levitra, but also as part of its analogs.