Optimal deleveraging with nonlinear temporary price impact
Jingnan Chen; Liming Feng; Jiming Peng
| Year of publication: |
2015
|
|---|---|
| Authors: | Chen, Jingnan ; Feng, Liming ; Peng, Jiming |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 244.2015, 1 (1.7.), p. 240-247
|
| Subject: | Portfolio deleveraging | Equity and liability | Polynomial optimization | Nonlinear temporary price impact | Lagrangian method | Theorie | Theory | Portfolio-Management | Portfolio selection | Nichtlineare Regression | Nonlinear regression | Konjunktur | Business cycle | Mathematische Optimierung | Mathematical programming |
| Extent: | 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/10010531946