A Nash bargaining solution for a multi period competitive portfolio optimization problem: Co-evolutionary approach

作者：

Highlights：

• A Nash bargaining model is proposed for multi-period competitive portfolio.

• Market conditions including transaction costs, risky assets and cash are considered.

• Budget constraints, trading rules, competition, pricing mechanism are considered.

• The problem is modeled using General Nash equilibrium idea.

• The problem is heuristically solved using a cooperative co-evolutionary algorithm.

摘要

•A Nash bargaining model is proposed for multi-period competitive portfolio.•Market conditions including transaction costs, risky assets and cash are considered.•Budget constraints, trading rules, competition, pricing mechanism are considered.•The problem is modeled using General Nash equilibrium idea.•The problem is heuristically solved using a cooperative co-evolutionary algorithm.

论文关键词：Multi-Period portfolio problem,Nash bargaining model,Generalized Nash Equilibrium Problem,Co-evolutionary algorithm

论文评审过程：Received 5 May 2020, Revised 18 June 2021, Accepted 27 June 2021, Available online 8 July 2021, Version of Record 15 July 2021.

论文官网地址：https://doi.org/10.1016/j.eswa.2021.115509