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~person:"Chen, Jingnan"
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Chen, Jingnan
Hautsch, Nikolaus
10
Huang, Ruihong
8
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8
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European Journal of Operational Research
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Optimal portfolio execution with a Markov chain approximation approach
Chen, Jingnan
;
Feng, Liming
;
Peng, Jiming
;
Zhang, Yu
- In:
IMA journal of management mathematics
34
(
2023
)
1
,
pp. 165-186
Persistent link: https://www.econbiz.de/10013541854
Saved in:
2
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
Saved in:
3
Optimal deleveraging with nonlinear temporary
price
impact
Chen, Jingnan
;
Feng, Liming
;
Peng, Jiming
- In:
European journal of operational research : EJOR
244
(
2015
)
1
,
pp. 240-247
Persistent link: https://www.econbiz.de/10010531946
Saved in:
4
Analytical results and efficient algorithm for optimal portfolio deleveraging with market impact
Chen, Jingnan
;
Feng, Liming
;
Peng, Jiming
;
Ye, Yinyu
- In:
Operations research
62
(
2014
)
1
,
pp. 195-206
Persistent link: https://www.econbiz.de/10010338535
Saved in:
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