Optimal deleveraging with nonlinear temporary price impact
Year of publication: |
2015
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Authors: | Chen, Jingnan ; Feng, Liming ; Peng, Jiming |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 244.2015, 1 (1.7.), p. 240-247
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Subject: | Portfolio deleveraging | Equity and liability | Polynomial optimization | Nonlinear temporary price impact | Lagrangian method | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Nichtlineare Regression | Nonlinear regression |
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