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Optimal liquidation of financial derivatives

Chen, Jingnan - In: Finance research letters 34 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012436500

An MLP model applicable to rural energy system

Fang, Zhen - In: Energy sources 16 (1994) 2, pp. 195-207

Persistent link: https://www.econbiz.de/10001165471

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

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

An application of sparse-group lasso regularization to equity portfolio optimization and sector selection

Chen, Jingnan; Dai, Gengling; Zhang, Ning - 2020

Persistent link: https://www.econbiz.de/10012165565

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

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