Optimal deleveraging with nonlinear temporary price impact

DOI10.1016/j.ejor.2014.12.034zbMath1346.91200OpenAlexW2037458109MaRDI QIDQ319326

Jingnan Chen, Liming Feng, Jiming Peng

Publication date: 6 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2014.12.034

zbMATH Keywords

Lagrangian methodpolynomial optimizationequity and liabilitynonlinear temporary price impactportfolio deleveraging

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Quadratic programming (90C20) Portfolio theory (91G10)

Related Items (6)

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 ⋮ Effective algorithms for optimal portfolio deleveraging problem with cross impact ⋮ Optimal portfolio deleveraging under market impact and margin restrictions ⋮ Optimal liquidation problem in illiquid markets

Cites Work

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• Institutional Investors and Stock Market Volatility
• Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact

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