We focus on the case of a financial service provider having to manage different clients’ accounts via assigning them to multiple managers. In this multi-agent scenario, we introduce sparsity-enhancing terms in the objectives of both clients and managers. The resulting decision problem can be modeled as a hierarchical GNEP that is Jointly-Convex with nonsmooth objectives. We study the main theoretical properties of this multi-agent problem, and show that it is solvable under mild conditions.
Nonsmooth Hierarchical Multi Portfolio Selection
Sagratella S.;
2023-01-01
Abstract
We focus on the case of a financial service provider having to manage different clients’ accounts via assigning them to multiple managers. In this multi-agent scenario, we introduce sparsity-enhancing terms in the objectives of both clients and managers. The resulting decision problem can be modeled as a hierarchical GNEP that is Jointly-Convex with nonsmooth objectives. We study the main theoretical properties of this multi-agent problem, and show that it is solvable under mild conditions.File in questo prodotto:
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