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Robust enhanced indexation optimization with sparse industry layout constraint
Allen-Zhao, Zhihua
;
Xu, Fengmin
;
Dai, Yu-Hong
;
Liu, Sanyang
- In:
Computers & operations research : an international journal
161
(
2024
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014557812
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New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact
Xu, Fengmin
;
Li, Xuepeng
;
Dai, Yu-Hong
;
Meihua, Wang
- In:
International transactions in operational research : a …
30
(
2023
)
5
,
pp. 2640-2664
Persistent link: https://www.econbiz.de/10014261199
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