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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
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pp. 195-206
Persistent link: https://www.econbiz.de/10010338535
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Optimal leveraged portfolio selection under quasi-elastic market impact
Edirisinghe, Chanaka
;
Chen, Jingnan
;
Jeong, Jaehwan
- In:
Operations research
71
(
2023
)
5
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pp. 1558-1576
Persistent link: https://www.econbiz.de/10014393151
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