Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact (Q5166308)
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scientific article; zbMATH DE number 6308864
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact |
scientific article; zbMATH DE number 6308864 |
Statements
Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact (English)
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26 June 2014
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optimal deleveraging
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permanent and temporary price impact
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nonconvex quadratic program
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Lagrangian method
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breakpoint
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