We analyze a Nash equilibrium problem arising when trades from different accounts are pooled for execution. We introduce a new general multi-portfolio model and state sufficient conditions for the monotonicity of the underlying Nash equilibrium problem. Monotonicity makes it possible to treat the problem numerically and, for the case of nonunique equilibria, to solve hierarchical problems of equilibrium selection. We also give sufficient conditions for the Nash equilibrium problem formulation to be a potential game. Our computational experience confirms the theoretical insights and substantiates the significance of the equilibrium selection.

Equilibrium selection for multi-portfolio optimization / Lampariello, L.; Neumann, C.; Ricci, J. M.; Sagratella, S.; Stein, O.. - In: EUROPEAN JOURNAL OF OPERATIONAL RESEARCH. - ISSN 0377-2217. - 295:1(2021), pp. 363-373. [10.1016/j.ejor.2021.02.033]

Equilibrium selection for multi-portfolio optimization

Lampariello L.
;
Sagratella S.
;
2021

Abstract

We analyze a Nash equilibrium problem arising when trades from different accounts are pooled for execution. We introduce a new general multi-portfolio model and state sufficient conditions for the monotonicity of the underlying Nash equilibrium problem. Monotonicity makes it possible to treat the problem numerically and, for the case of nonunique equilibria, to solve hierarchical problems of equilibrium selection. We also give sufficient conditions for the Nash equilibrium problem formulation to be a potential game. Our computational experience confirms the theoretical insights and substantiates the significance of the equilibrium selection.
2021
Game theory; Hierarchical optimization; Nash equilibrium problem; Portfolio selection; Variational inequalities
01 Pubblicazione su rivista::01a Articolo in rivista
Equilibrium selection for multi-portfolio optimization / Lampariello, L.; Neumann, C.; Ricci, J. M.; Sagratella, S.; Stein, O.. - In: EUROPEAN JOURNAL OF OPERATIONAL RESEARCH. - ISSN 0377-2217. - 295:1(2021), pp. 363-373. [10.1016/j.ejor.2021.02.033]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1540625
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