In this paper, we consider an optimal portfolio de-leveraging problem, where the objective is to meet specified debt/equity requirements at the minimal execution cost. Permanent and temporary price impact is taken into account. With no restrictions on the relative magnitudes of permanent and...

A well-managed portfolio is crucial to an investor's success. Robustness against parameter uncertainty and low trading costs are two desired properties when constructing a portfolio. Robust optimization techniques have been applied to improve the stability of a portfolio under parameter...