New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact
From MaRDI portal
Publication:6056327
DOI10.1111/itor.13219OpenAlexW4304693475MaRDI QIDQ6056327
Feng-Min Xu, Meihua Wang, Yu-Hong Dai, Xuepeng Li
Publication date: 29 September 2023
Published in: International Transactions in Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/itor.13219
Cites Work
- Unnamed Item
- Unnamed Item
- Optimal portfolio liquidation with additional information
- Optimal deleveraging with nonlinear temporary price impact
- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
- Augmented Lagrangian algorithms based on the spectral projected gradient method for solving nonlinear programming problems
- Indefinite multi-constrained separable quadratic optimization: large-scale efficient solution
- Augmented Lagrangian methods under the constant positive linear dependence constraint qualification
- OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
- Optimal Portfolio Liquidation with Distress Risk
- A Globally Convergent Augmented Lagrangian Algorithm for Optimization with General Constraints and Simple Bounds
- Optimal Liquidity Trading*
- On the Constant Positive Linear Dependence Condition and Its Application to SQP Methods
- Projected Newton Methods for Optimization Problems with Simple Constraints
- Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact
- Trading co‐integrated assets with price impact
- Price Manipulation and Quasi-Arbitrage
- Nonlinear Programming
- Adjustment of an Inverse Matrix Corresponding to a Change in One Element of a Given Matrix
This page was built for publication: New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact