New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact (Q6056327)
From MaRDI portal
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)
0 references
29 September 2023
0 references
augmented Lagrangian algorithm
0 references
equity and liability
0 references
optimal portfolio liquidation
0 references
price impact
0 references
0 references
0 references
0 references
0 references
0 references
0 references
