Effective algorithms for optimal portfolio deleveraging problem with cross impact (Q6178391)
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scientific article; zbMATH DE number 7790867
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| English | Effective algorithms for optimal portfolio deleveraging problem with cross impact |
scientific article; zbMATH DE number 7790867 |
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Effective algorithms for optimal portfolio deleveraging problem with cross impact (English)
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18 January 2024
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branch-and-bound
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convex relaxation
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cross-asset price impact
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nonconvex quadratic program
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optimal portfolio deleveraging
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successive convex optimization
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0.8704472184181213
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0.8679398894309998
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0.830574631690979
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0.8272415399551392
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