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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

Complexity results and effective algorithms for worst-case linear optimization under uncertainties

Luo, Hezhi; Ding, Xiaodong; Peng, Jiming; Jiang, Rujun; … - In: INFORMS journal on computing : JOC 33 (2021) 1, pp. 180-197

Persistent link: https://www.econbiz.de/10012496371

Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact

Chen, Jingnan - 2013

In this paper, we consider an optimal portfolio de-leveraging problem, where the objective is to meet specified debt/equity requirements at the minimal execution cost. Permanent and temporary price impact is taken into account. With no restrictions on the relative magnitudes of permanent and...

Persistent link: https://www.econbiz.de/10013077067

An interior point constraint generation algorithm for semi-infinite optimization with health-care application

Oskoorouchi, Mohammad R.; Ghaffari, Hamid R.; Terlaky, … - In: Operations research 59 (2011) 5, pp. 1184-1197

Persistent link: https://www.econbiz.de/10010217830

Examples with decreasing largest inscribed ball for deterministic rescaling algorithms

Li, Dan; Terlaky, Tamás - In: INFOR : information systems and operational research 57 (2019) 4, pp. 517-534

Persistent link: https://www.econbiz.de/10012204135

A new algorithm for quadratic programming

Terlaky, Tamás - In: European journal of operational research : EJOR 32 (1987) 2, pp. 294-301

Persistent link: https://www.econbiz.de/10003692964