Analytical results and efficient algorithm for optimal portfolio deleveraging with market impact
DOI10.1287/OPRE.2013.1222zbMATH Open1291.90160OpenAlexW3121947269MaRDI QIDQ5166308FDOQ5166308
Liming Feng, Jiming Peng, Yinyu Ye, Jingnan Chen
Publication date: 26 June 2014
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.2013.1222
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Lagrangian methodbreakpointnonconvex quadratic programoptimal deleveragingpermanent and temporary price impact
Quadratic programming (90C20) Nonconvex programming, global optimization (90C26) Portfolio theory (91G10)
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- Indefinite multi-constrained separable quadratic optimization: large-scale efficient solution
- An adaptive Lagrangian algorithm for optimal portfolio deleveraging with cross-impact
- Optimal portfolio deleveraging under market impact and margin restrictions
- Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions
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