Optimal Portfolio Liquidation with Distress Risk

DOI10.1287/mnsc.1100.1235zbMath1232.91610OpenAlexW2113831982MaRDI QIDQ3117328

Bruce I. Carlin, David B. Brown, Miguel Sousa Lobo

Publication date: 27 February 2012

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.1100.1235

zbMATH Keywords

portfolio managementoptimal liquidationprice impact

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (9)

Optimal deleveraging with nonlinear temporary price impact ⋮ Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and Their Effect on Portfolio Execution ⋮ Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions ⋮ New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact ⋮ Effective algorithms for separable nonconvex quadratic programming with one quadratic and box constraints ⋮ An adaptive Lagrangian algorithm for optimal portfolio deleveraging with cross-impact ⋮ Effective algorithms for optimal portfolio deleveraging problem with cross impact ⋮ Liquidating illiquid collateral ⋮ Optimal portfolio deleveraging under market impact and margin restrictions

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