Optimizing portfolio liquidation under risk-based margin requirements
Year of publication: |
2013
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Authors: | Deng, Geng ; Dulaney, Tim ; McCann, Craig |
Published in: |
Journal of finance and investment analysis. - London : Scienpress, ISSN 2241-0996, ZDB-ID 26551500. - Vol. 2.2013, 1, p. 121-153
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Extent: | graph. Darst. |
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Type of publication: | Article |
Language: | English |
Classification: | G20 - Financial Institutions and Services. General ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; O16 - Financial Markets; Saving and Capital Investment |
Source: |
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