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~person:"Blake, David"
~person:"Li, Duan"
~person:"Maurer, Raimond"
~person:"Shushi, Tomer"
~person:"Zhou, Guofu"
~subject:"Mathematical programming"
~type_genre:"Conference paper"
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Mathematical programming
Mathematische Optimierung
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convex relaxation
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nonconvex quadratic program
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optimal portfolio deleveraging
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Blake, David
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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The European journal of finance
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ECONIS (ZBW)
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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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Analytic solution to the portfolio optimization problem in a mean-variance-skewness model
Landsman, Zinoviy
;
Makov, Udi
;
Shushi, Tomer
- In:
The European journal of finance
26
(
2020
)
2/3
,
pp. 165-178
Persistent link: https://www.econbiz.de/10012207192
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