Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact
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Publication:5166308
DOI10.1287/opre.2013.1222zbMath1291.90160OpenAlexW3121947269MaRDI QIDQ5166308
Liming Feng, Yinyu Ye, Jingnan Chen, Jiming Peng
Publication date: 26 June 2014
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.2013.1222
breakpointLagrangian methodnonconvex quadratic programoptimal deleveragingpermanent and temporary price impact
Nonconvex programming, global optimization (90C26) Quadratic programming (90C20) Portfolio theory (91G10)
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