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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

In this paper, we first propose a portfolio management model where the objective is to balance equity and liability. The asset price dynamics includes both permanent and temporary price impact, where the permanent impact is a linear function of the cumulative trading amount and the temporary...

Persistent link: https://www.econbiz.de/10011209357

A new class of polynomial primal-dual methods for linear and semidefinite optimization

Peng, Jiming; Roos, Cornelis; Terlaky, Tamas - In: European Journal of Operational Research 143 (2002) 2, pp. 234-256

Persistent link: https://www.econbiz.de/10005277888

17th EURO Mini Conference "Continuous Optimization in the Industry", Pécs, Hungary, June 29-July 1, 2005

Illés, Tibor; Lopez, Marco A.; Terlaky, Tamás; … - In: European Journal of Operational Research 191 (2008) 3, pp. 771-772

Persistent link: https://www.econbiz.de/10005337466

Smoothing empirical functions by lp programming

Terlaky, T. - In: European Journal of Operational Research 27 (1986) 3, pp. 343-363

Persistent link: https://www.econbiz.de/10005236781

Sensitivity analysis in linear programming: just be careful!

Jansen, B.; de Jong, J. J.; Roos, C.; Terlaky, T. - In: European Journal of Operational Research 101 (1997) 1, pp. 15-28

Persistent link: https://www.econbiz.de/10005347641

New complexity analysis of IIPMs for linear optimization based on a specific self-regular function

Salahi, M.; Peyghami, M.R.; Terlaky, T. - In: European Journal of Operational Research 186 (2008) 2, pp. 466-485

Persistent link: https://www.econbiz.de/10005287725

On lp programming

Terlaky, T. - In: European Journal of Operational Research 22 (1985) 1, pp. 70-100

Persistent link: https://www.econbiz.de/10005075316