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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

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

Optimal portfolio execution with a Markov chain approximation approach

Chen, Jingnan; Feng, Liming; Peng, Jiming; Zhang, Yu - In: IMA journal of management mathematics 34 (2023) 1, pp. 165-186

Persistent link: https://www.econbiz.de/10013541854

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

Step options

Linetsky, Vadim - In: Mathematical finance : an international journal of … 9 (1999) 1, pp. 55-96

Persistent link: https://www.econbiz.de/10001363486

Asset financing with credit risk

Golbeck, Steven; Linetsky, Vadim - In: Journal of banking & finance 37 (2013) 1, pp. 43-59

Persistent link: https://www.econbiz.de/10009675556

Partially egalitarian portfolio selection

Peng, Yiming; Linetsky, Vadim - In: Operations research letters : a journal of INFORMS … 52 (2024), pp. 1-6

Persistent link: https://www.econbiz.de/10015048960