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Your search keyword '"Sagratella, S."' showing total 11 results
Start Over Author "Sagratella, S." Publisher elsevier b.v.
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8. Equilibrium selection for multi-portfolio optimization

Author

Lorenzo Lampariello, Jacopo Maria Ricci, Oliver Stein, Simone Sagratella, Christoph Neumann, Lampariello, L., Neumann, C., Ricci, J. M., Sagratella, S., and Stein, O.

Subjects
TheoryofComputation_MISCELLANEOUS, Computer Science::Computer Science and Game Theory, Information Systems and Management, General Computer Science, 0211 other engineering and technologies, Monotonic function, 02 engineering and technology, Management Science and Operations Research, Portfolio selection, Industrial and Manufacturing Engineering, symbols.namesake, 0502 economics and business, Game theory, Hierarchical optimization, Nash equilibrium problem, Variational inequalities, Mathematics, 050210 logistics & transportation, 021103 operations research, 05 social sciences, TheoryofComputation_GENERAL, State (functional analysis), Equilibrium selection, Nash equilibrium, Modeling and Simulation, Variational inequality, symbols, Portfolio optimization, Potential game, Mathematical economics
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.

Published
2021

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