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Search: subject:"optimal deleveraging"
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optimal deleveraging
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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ECONIS (ZBW)
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Reverse stress testing : scenario design for macroprudential stress tests
Baes, Michel
;
Schaanning, Eric
- In:
Mathematical finance : an international journal of …
33
(
2023
)
2
,
pp. 209-256
Persistent link: https://www.econbiz.de/10014278668
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Analytical results and efficient algorithm for optimal portfolio deleveraging with market impact
Chen, Jingnan
;
Feng, Liming
;
Peng, Jiming
;
Ye, Yinyu
- In:
Operations research
62
(
2014
)
1
,
pp. 195-206
Persistent link: https://www.econbiz.de/10010338535
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