We focus on the case of a financial service provider having to manage different clients’ accounts via assigning them to multiple managers. In this multi-agent scenario, we introduce sparsity-enhancing terms in the objectives of both clients and managers. The resulting decision problem can be modeled as a hierarchical GNEP that is Jointly-Convex with nonsmooth objectives. We study the main theoretical properties of this multi-agent problem, and show that it is solvable under mild conditions.
Nonsmooth Hierarchical Multi Portfolio Selection / Lampariello, L.; Sagratella, S.; Sasso, V. G.. - (2023), pp. 37-46. [10.1007/978-3-031-28863-0_4].
Nonsmooth Hierarchical Multi Portfolio Selection
Lampariello L.;Sagratella S.;Sasso V. G.
2023
Abstract
We focus on the case of a financial service provider having to manage different clients’ accounts via assigning them to multiple managers. In this multi-agent scenario, we introduce sparsity-enhancing terms in the objectives of both clients and managers. The resulting decision problem can be modeled as a hierarchical GNEP that is Jointly-Convex with nonsmooth objectives. We study the main theoretical properties of this multi-agent problem, and show that it is solvable under mild conditions.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
