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Optimal deleveraging with nonlinear temporary price impact

Chen, Jingnan; Feng, Liming; Peng, Jiming - In: European journal of operational research : EJOR 244 (2015) 1, pp. 240-247

Persistent link: https://www.econbiz.de/10010531946

New analysis on sparse solutions to random standard quadratic optimization problems and extensions

Chen, Xin; Peng, Jiming - In: Mathematics of operations research 40 (2015) 3, pp. 725-738

Persistent link: https://www.econbiz.de/10011338691

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

Vulnerability analysis of the financial network

Khabazian, Aein; Peng, Jiming - In: Management science : journal of the Institute for … 65 (2019) 7, pp. 3302-3321

Persistent link: https://www.econbiz.de/10012039993

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