New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact
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Publication:6056327
DOI10.1111/itor.13219OpenAlexW4304693475MaRDI QIDQ6056327
Feng-Min Xu, Meihua Wang, Yu-Hong Dai, Xuepeng Li
Publication date: 29 September 2023
Published in: International Transactions in Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/itor.13219
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