Fairness and Efficiency in Multiportfolio Optimization

We deal with the problem faced by a portfolio manager in charge of multiple accounts. We argue that because of market impact costs, this setting differs in several subtle ways from the classical (single account) case, with the key distinction being that the performance of each individual account typ...

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Veröffentlicht in:Operations research 2014-11, Vol.62 (6), p.1285-1301
Hauptverfasser: Iancu, Dan A., Trichakis, Nikolaos
Format: Artikel
Sprache:eng
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