Effective algorithms for optimal portfolio deleveraging problem with cross impact
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Publication:6178391
DOI10.1111/mafi.12383zbMath1530.91531arXiv2012.07368OpenAlexW3169262658MaRDI QIDQ6178391
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Publication date: 18 January 2024
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2012.07368
branch-and-boundconvex relaxationnonconvex quadratic programsuccessive convex optimizationoptimal portfolio deleveragingcross-asset price impact
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