Optimal portfolio liquidation with cross-price impacts on trading
Yi Li, Ju’e Guo, Kin Keung Lai, Jinzhao Shi
| Year of publication: |
2022
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|---|---|
| Authors: | Li, Yi ; Guo, Ju'e ; Lai, Kin Keung ; Shi, Jinzhao |
| Subject: | Cross-price impact | Heuristic algorithm | Liquidation strategy | Non-convex optimization | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Heuristik | Heuristics | Algorithmus | Algorithm | Liquidität | Liquidity | Operations Research | Operations research |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s12351-020-00572-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013174445