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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
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pp. 195-206
Persistent link: https://www.econbiz.de/10010338535
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Positive eigenfunctions of Markovian pricing operators : Hansen-Scheinkman factorization, ross recovery, and long-term pricing
Qin, Likuan
;
Linetsky, Vadim
- In:
Operations research
64
(
2016
)
1
,
pp. 99-117
Persistent link: https://www.econbiz.de/10011447753
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