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International Conference on Game Theory for Networks

GameNets 2011: Game Theory for Networks pp 182–189Cite as

Multi-portfolio Optimization: A Potential Game Approach

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Part of the Lecture Notes of the Institute for Computer Sciences, Social Informatics and Telecommunications Engineering book series (LNICST,volume 75)

Abstract

Trades from separately managed accounts are usually pooled together for execution and the transaction cost for a given account may depend on the overall level of trading. Multi-portfolio optimization is a technique for combing multiple accounts at the same time, considering their joint effects while adhering to account-specific constraints. In this paper, we model multi-portfolio optimization as a game problem and adopt as a desirable objective the concept of Nash Equilibrium (NE). By formulating the game problem as a potential game, we are able to provide a complete characterization of NE and derive iterative algorithms with a distributed nature and satisfactory convergence property.

Keywords

  • Nash Equilibrium
  • Global Constraint
  • Game Problem
  • Potential Game
  • Nash Equilibrium Problem

These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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  • DOI: 10.1007/978-3-642-30373-9_13
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References

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Author information

Authors and Affiliations

  1. Department of Electronic and Computer Engineering, The Hong Kong University of Science and Technology, Hong Kong

    Yang Yang, Francisco Rubio & Daniel Palomar

  2. Department of Electrical Engineering, State University of New York (SUNY), Buffalo, USA

    Gesualdo Scutari

Authors
  1. Yang Yang
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  2. Francisco Rubio
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  3. Gesualdo Scutari
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  4. Daniel Palomar
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Editor information

Editors and Affiliations

  1. USC, 90089-2562, Los Angeles, CA, USA

    Rahul Jain

  2. Louisiana State University, 70803, Baton Rouge, LA, USA

    Rajgopal Kannan

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© 2012 ICST Institute for Computer Science, Social Informatics and Telecommunications Engineering

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Yang, Y., Rubio, F., Scutari, G., Palomar, D. (2012). Multi-portfolio Optimization: A Potential Game Approach. In: Jain, R., Kannan, R. (eds) Game Theory for Networks. GameNets 2011. Lecture Notes of the Institute for Computer Sciences, Social Informatics and Telecommunications Engineering, vol 75. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-30373-9_13

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  • DOI: https://doi.org/10.1007/978-3-642-30373-9_13

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-30372-2

  • Online ISBN: 978-3-642-30373-9

  • eBook Packages: Computer ScienceComputer Science (R0)