New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact
Fengmin Xu, Xuepeng Li, Yu-Hong Dai and Meihua Wang
| Year of publication: |
2023
|
|---|---|
| Authors: | Xu, Fengmin ; Li, Xuepeng ; Dai, Yu-Hong ; Meihua, Wang |
| Published in: |
International transactions in operational research : a journal of the International Federation of Operational Research Societies. - Oxford : Wiley-Blackwell, ISSN 1475-3995, ZDB-ID 2019815-2. - Vol. 30.2023, 5, p. 2640-2664
|
| Subject: | augmented Lagrangian algorithm | equity and liability | optimal portfolio liquidation | price impact | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Algorithmus | Algorithm |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/itor.13219 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014261199