Multi-portfolio Optimization in Tehran Stock Exchange

The majority of portfolio optimization problem studies are conducted under a single portfolio framework. When multiple portfolios are managed together, some issues such as market impact costs must be dealt with properly. It would be better to use multi-portfolio optimization framework to manage market impact effects of trading in multiple portfolios. In this research, I* model is used to model market impact for two accounts including three assets in TSE. Results show that market impact cost has decreased when using a multi-portfolio optimization framework in compare to the classic solution.