Analytical results and efficient algorithm for optimal portfolio deleveraging with market impact
Year of publication: |
2014
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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
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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 |
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