Analytical results and efficient algorithm for optimal portfolio deleveraging with market impact
Jingnan Chen, Liming Feng; Jiming Peng; Yinyu Ye
| Year of publication: |
2014
|
|---|---|
| Authors: | Chen, Jingnan ; Feng, Liming ; Peng, Jiming ; Ye, Yinyu |
| Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 62.2014, 1, p. 195-206
|
| Subject: | optimal deleveraging | permanent and temporary price impact | nonconvex quadratic program | Lagrangian method | breakpoint | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Algorithmus | Algorithm |
| Extent: | Ill., graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010338535