An adaptive Lagrangian algorithm for optimal portfolio deleveraging with cross-impact

DOI10.1007/S11424-017-5299-1zbMath1409.91222OpenAlexW2603818044MaRDI QIDQ1697674

Min Sun, Yu-Hong Dai, Feng-Min Xu

Publication date: 20 February 2018

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-017-5299-1

zbMATH Keywords

deleveragingadaptive Lagrangian algorithmprice cross-impact

Mathematics Subject Classification ID

Quadratic programming (90C20) Portfolio theory (91G10)

Related Items (2)

Large dynamic covariance matrix estimation with an application to portfolio allocation: a semiparametric reproducing kernel Hilbert space approach ⋮ Optimal portfolio deleveraging under market impact and margin restrictions

Cites Work

• A new analysis on the Barzilai-Borwein gradient method
• Optimal Portfolio Liquidation with Distress Risk
• Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact

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