An algorithmic approach to optimal asset liquidation problems
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Cites work
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- scientific article; zbMATH DE number 1321699 (Why is no real title available?)
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Cited in
(9)- Towards the real time solution of strike force asset allocation problems
- New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact
- Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations
- Optimal asset liquidation with multiplicative transient price impact
- Optimal security liquidation algorithms
- A novel algorithm for clearing financial obligations between companies - An application within the Romanian Ministry of economy
- Algorithmic trading efficiency and its impact on market-quality
- An adaptive Lagrangian algorithm for optimal portfolio deleveraging with cross-impact
- Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
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