Multi-portfolio optimization: A potential game approach

IEEE Transactions on Signal Processing

Volumn 61, Issue 22, 2013, Pages 5590-5602

  Yang, Yang ^a   Rubio, Francisco ^b   Scutari, Gesualdo ^c   Palomar, Daniel P ^a,d  

^a HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

^b Genetic Finance Ltd   (Hong Kong)

^c the State University of New York   (United States)

^d Centre Tecnol ogic de Telecomunicacions de Catalunya Hong Kong CTTC HK   (Hong Kong)

Author keywords

Convex optimization; distributed algorithms; game theory; market impact cost; multi portfolio optimization; Nash equilibrium; socially optimal solution.

Indexed keywords

EXISTENCE AND UNIQUENESS; INVESTMENT DECISIONS; MARKET IMPACT COSTS; NASH EQUILIBRIA; NASH EQUILIBRIUM PROBLEMS; OPTIMAL SOLUTIONS; PORTFOLIO CONSTRAINTS; SIGNAL PROCESSING TECHNIQUE;

ALGORITHMS; CONVEX OPTIMIZATION; FINANCIAL DATA PROCESSING; GAME THEORY; INVESTMENTS; OPTIMIZATION; PARALLEL ALGORITHMS; SIGNAL PROCESSING;

COMMERCE;

EID: 84886563821     PISSN: 1053587X     EISSN: None     Source Type: Journal    
DOI: 10.1109/TSP.2013.2277839     Document Type: Article

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