The authors propose a model for the MPO problem in which the objective to be maximized is the social welfare, i.e., the sum of the objective functions of the individual accounts, and argue that this is fair since the solution obtained is the same as if the clients directly competed against each other in a mar- ket for ...
Oct 9, 2014 · Our approach allows the manager to balance the conflicting objectives of maximizing the aggregate gains from joint optimization and distributing ...
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We propose a novel, tractable approach for jointly optimizing the trading activities of all accounts and also splitting the associated market impact costs ...
This work proposes a novel, tractable approach for jointly optimizing the trading activities of all accounts and also splitting the associated market impact ...
We propose a novel, tractable approach for jointly optimizing the trading activities of all accounts and also splitting the associated market impact costs ...
Dec 3, 2020 · Specifically, to evaluate the quality of multiple portfolios' investment payoffs in achieving targets, we propose a new class of performance ...
Fairness and Efficiency in Multiportfolio Optimization · D. IancuNikolaos Trichakis. Business, Economics ; Efficiency-risk tradeoffs in dynamic oligopoly markets ...
Unlike other naïve strategies that sacrifice optimality to achieve fairness, such as randomization and representative accounts, multiportfolio optimization ...
We develop a novel target-oriented model that jointly optimizes the rebalancing trades and the split of market impact costs.
In multi-portfolio optimization, a central problem associated with the optimal solution is the fairness issue [11, 14]. It is shown in [9, 10] that to achieve ...