Fairness and Efficiency in Multiportfolio Optimization

A manager running many client accounts cannot treat them independently: trades move prices, so executing one account affects the others. We develop a tractable method that jointly optimizes all trades and divides the resulting market-impact costs across accounts, allowing the manager to balance aggregate gains with equitable treatment. Numerical studies indicate that the approach outperforms methods commonly used in industry or proposed in prior research.

Operations Research, vol. 62, no. 6, pp. 1285–1301