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IMA journal of management mathematics
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Effective algorithms for optimal portfolio deleveraging problem with cross impact
Luo, Hezhi
;
Chen, Yuanyuan
;
Zhang, Xianye
;
Li, Duan
; …
- In:
Mathematical finance : an international journal of …
34
(
2024
)
1
,
pp. 36-89
Persistent link: https://www.econbiz.de/10014471144
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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
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