Nov 16, 2021 · We introduce a new general multi-portfolio model and state sufficient conditions for the monotonicity of the underlying Nash equilibrium problem ...

We analyze a Nash equilibrium problem arising when trades from different accounts are pooled for execution. We introduce a new general multi-portfolio model ...

Jan 27, 2020 · This paper studies a Nash game arising in portfolio optimization. We introduce a new general multi-portfolio model and state sufficient ...

We analyze a Nash equilibrium problem arising when trades from different accounts are pooled for execution. We introduce a new general multi-portfolio model ...

This paper first model this phenomenon as a Nash Equilibrium problem (NEP) and thereafter consider a generalized NEP (GNEP) for the case where there are ...

Equilibrium selection for multi-portfolio optimization. Lampariello, Lorenzo; Neumann, Christoph 1; Ricci, Jacopo M.; Sagratella, Simone; Stein, Oliver ORCID ...

We propose a portfolio optimization method with a multi-trend objective and an accelerated quasi-Newton method (MTO-AQNM).

In this paper, we model multi-portfolio optimization as a game problem and adopt as a desirable objective the concept of Nash Equilibrium (NE). ... Markowitz, ...

Dec 14, 2024 · This paper is concerned with a continuous-time mean-variance portfolio selection model that is formulated as a bicriteria optimization problem.

Feb 17, 2021 · We analyze a Nash equilibrium problem arising when trades from different accounts are pooled for execution. We introduce a new general ...