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Multiperiod Portfolio Optimization With Terminal Liability : Bounds for the Convex Case
Edirisinghe, Chanaka - 2021
This paper is concerned with an investor trading in multiple securities over many time periods in order to meet an outstanding liability at some future date. The investor is concerned with maximizing the expected profits from portfolio rebalancing under an initial wealth restriction to meet the...
Persistent link: https://www.econbiz.de/10013230031
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Entropy-based optimization of nonlinear separable discrete decision models
Nakagawa, Yuji; James, Ross J. W.; Rego, César; … - In: Management science : journal of the Institute for … 60 (2014) 3, pp. 695-707
Persistent link: https://www.econbiz.de/10010347887
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Indefinite multi-constrained separable quadratic optimization : large-scale efficient solution
Edirisinghe, Chanaka; Jeong, Jaehwan - In: European journal of operational research : EJOR 278 (2019) 1, pp. 49-63
Persistent link: https://www.econbiz.de/10012102591
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Optimal portfolio deleveraging under market impact and margin restrictions
Edirisinghe, Chanaka; Jeong, Jaehwan; Chen, Jingnan - In: European journal of operational research : EJOR 294 (2021) 2, pp. 746-759
Persistent link: https://www.econbiz.de/10012595904