Optimal deleveraging with nonlinear temporary price impact (Q319326)
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scientific article; zbMATH DE number 6633503
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal deleveraging with nonlinear temporary price impact |
scientific article; zbMATH DE number 6633503 |
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Optimal deleveraging with nonlinear temporary price impact (English)
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6 October 2016
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portfolio deleveraging
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equity and liability
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polynomial optimization
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nonlinear temporary price impact
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Lagrangian method
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0.8771211
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0.8708691
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0.86360127
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0.8581855
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0.8459823
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0.8419587
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0.8391289
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0.8339771
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