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Optimal deleveraging with nonlinear
temporary
price
impact
Chen, Jingnan
;
Feng, Liming
;
Peng, Jiming
- In:
European Journal of Operational Research
244
(
2015
)
1
,
pp. 240-247
. The asset price dynamics includes both permanent and
temporary
price
impact
, where the permanent impact is a linear …
Persistent link: https://www.econbiz.de/10011209357
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