Effective algorithms for optimal portfolio deleveraging problem with cross impact (Q6178391): Difference between revisions
From MaRDI portal
ReferenceBot (talk | contribs) Changed an Item |
Normalize DOI. |
||
| Property / DOI | |||
| Property / DOI: 10.1111/mafi.12383 / rank | |||
| Property / DOI | |||
| Property / DOI: 10.1111/MAFI.12383 / rank | |||
Normal rank | |||
Latest revision as of 19:10, 30 December 2024
scientific article; zbMATH DE number 7790867
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Effective algorithms for optimal portfolio deleveraging problem with cross impact |
scientific article; zbMATH DE number 7790867 |
Statements
Effective algorithms for optimal portfolio deleveraging problem with cross impact (English)
0 references
18 January 2024
0 references
branch-and-bound
0 references
convex relaxation
0 references
cross-asset price impact
0 references
nonconvex quadratic program
0 references
optimal portfolio deleveraging
0 references
successive convex optimization
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
