Analytical results and efficient algorithm for optimal portfolio deleveraging with market impact (Q5166308)
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scientific article; zbMATH DE number 6308864
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| default for all languages | No label defined |
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| English | Analytical results and efficient algorithm for optimal portfolio deleveraging with market impact |
scientific article; zbMATH DE number 6308864 |
Statements
Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact (English)
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26 June 2014
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optimal deleveraging
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permanent and temporary price impact
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nonconvex quadratic program
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Lagrangian method
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breakpoint
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0.908860683441162
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0.8855529427528381
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0.8633755445480347
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0.7828023433685303
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0.7799846529960632
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