New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact (Q6056327)
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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
New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact (English)
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29 September 2023
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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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