Wednesday, 15:45 - 16:10 h, Room: H 3027

 

Nikos Trichakis
Fairness in multi-portfolio optimization

Coauthor: Dan A. Iancu

 

Abstract:
We deal with the problem faced by a portfolio manager in charge of multiple accounts. In such a setting, the performance of each individual account typically depends on the trading strategy of other accounts as well, due to market impact cost of the aggregate trading activity. We propose a novel, tractable approach for jointly optimizing the trading activities of all accounts and also splitting the associated market impact costs between the accounts. Our approach allows the manager to balance the conflicting objectives of maximizing the aggregate gains from joint optimization and distributing them across the accounts in an equitable way. We perform numerical studies that suggest that our approach outperforms existing methods employed in the industry or discussed in the literature.

 

Talk 2 of the invited session Wed.3.H 3027
"Management of portfolios and liabilities" [...]
Cluster 7
"Finance & economics" [...]

 

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