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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 client9s 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
O'Cinneide et al. (Mon,) studied this question.
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