RT Journal Article
SR Electronic
T1 Pooling Trades in a Quantitative Investment Process
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 33
OP 43
DO 10.3905/jpm.2006.644191
VO 32
IS 4
A1 Colm O'Cinneide
A1 Bernd Scherer
A1 Xiaodong Xu
YR 2006
UL https://pm-research.com/content/32/4/33.abstract
AB Trading for several clients or accounts at the same time involves two challenges, one technical and one philosophical. The technical challenge is to take account of the market impact of aggregate trading in forming each client's individual portfolio. The philosophical challenge is to replace the traditional goal of maximizing utility for a single client with the goal of ensuring that all clients are treated fairly in the pursuit of their collective good. These challenges require a model of an efficient market for liquidity, which allows multi-account optimization—to ensure fairness, based on the principle that efficient markets are fair.TOPICS: Equity portfolio management, portfolio management/multi-asset allocation, security analysis and valuation