New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact (Q6056327): Difference between revisions

Latest revision as of 01:16, 3 August 2024

scientific article; zbMATH DE number 7744765

Language	Label	Description	Also known as
English	New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact	scientific article; zbMATH DE number 7744765

Statements

instance of

scholarly article

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title

New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact (English)

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International Transactions in Operational Research

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publication date

29 September 2023

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zbMATH Keywords

augmented Lagrangian algorithm

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equity and liability

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optimal portfolio liquidation

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price impact

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1111/itor.13219

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cites work

Augmented Lagrangian methods under the constant positive linear dependence constraint qualification

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Optimal portfolio liquidation with additional information

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Nonlinear Programming

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Projected Newton Methods for Optimization Problems with Simple Constraints

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Optimal Portfolio Liquidation with Distress Risk

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Trading co‐integrated assets with price impact

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Optimal deleveraging with nonlinear temporary price impact

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Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact

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A Globally Convergent Augmented Lagrangian Algorithm for Optimization with General Constraints and Simple Bounds

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Augmented Lagrangian algorithms based on the spectral projected gradient method for solving nonlinear programming problems

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Indefinite multi-constrained separable quadratic optimization: large-scale efficient solution

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OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK

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Price Manipulation and Quasi-Arbitrage

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Optimal Liquidity Trading*

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Q5491447

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Q5590418

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On the Constant Positive Linear Dependence Condition and Its Application to SQP Methods

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Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets

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Adjustment of an Inverse Matrix Corresponding to a Change in One Element of a Given Matrix

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Identifiers

DOI

10.1111/itor.13219

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6056327

@@ Property / full work available at URL @@
+https://doi.org/10.1111/itor.13219
+Normal rank
@@ Property / OpenAlex ID @@
+W4304693475
@@ Property / OpenAlex ID: W4304693475 / rank @@
+Normal rank
@@ Property / cites work @@
+Augmented Lagrangian methods under the constant positive linear dependence constraint qualification
+Normal rank
@@ Property / cites work @@
+Optimal portfolio liquidation with additional information
+Normal rank
@@ Property / cites work @@
+Nonlinear Programming
@@ Property / cites work: Nonlinear Programming / rank @@
+Normal rank
@@ Property / cites work @@
+Projected Newton Methods for Optimization Problems with Simple Constraints
+Normal rank
@@ Property / cites work @@
+Optimal Portfolio Liquidation with Distress Risk
@@ Property / cites work: Optimal Portfolio Liquidation with Distress Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Trading co‐integrated assets with price impact
@@ Property / cites work: Trading co‐integrated assets with price impact / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal deleveraging with nonlinear temporary price impact
+Normal rank
@@ Property / cites work @@
+Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact
+Normal rank
@@ Property / cites work @@
+A Globally Convergent Augmented Lagrangian Algorithm for Optimization with General Constraints and Simple Bounds
+Normal rank
@@ Property / cites work @@
+Augmented Lagrangian algorithms based on the spectral projected gradient method for solving nonlinear programming problems
+Normal rank
@@ Property / cites work @@
+Indefinite multi-constrained separable quadratic optimization: large-scale efficient solution
+Normal rank
@@ Property / cites work @@
+OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
+Normal rank
@@ Property / cites work @@
+Price Manipulation and Quasi-Arbitrage
@@ Property / cites work: Price Manipulation and Quasi-Arbitrage / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Liquidity Trading*
@@ Property / cites work: Optimal Liquidity Trading* / rank @@
+Normal rank
@@ Property / cites work @@
+Q5491447
@@ Property / cites work: Q5491447 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5590418
@@ Property / cites work: Q5590418 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Constant Positive Linear Dependence Condition and Its Application to SQP Methods
+Normal rank
@@ Property / cites work @@
+Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
+Normal rank
@@ Property / cites work @@
+Adjustment of an Inverse Matrix Corresponding to a Change in One Element of a Given Matrix
+Normal rank