Equilibrium selection for multi-portfolio optimization
Equilibrium selection for multi-portfolio optimization
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DOI：
10.1016/j.ejor.2021.02.033
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发表时间：
2021-02
期刊：
影响因子：
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通讯作者：
Lorenzo Lampariello;C. Neumann;J. M. Ricci;Simone Sagratella;O. Stein
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文献类型：
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作者：
Lorenzo Lampariello;C. Neumann;J. M. Ricci;Simone Sagratella;O. Stein
我们分析了当不同账户的交易集中执行时出现的纳什均衡问题。我们引入了一个新的一般多资产组合模型，给出了基本纳什均衡问题单调性的充分条件。单调性使得数值处理问题成为可能，对于非唯一均衡的情况，可以解决均衡选择的分层问题。我们还给出了纳什均衡问题成为势对策的充分条件。我们的计算经验证实了理论上的见解，并证实了均衡选择的意义。
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.