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...

We study the impact of liquidity in optimal portfolio choice under leveraging to improve risk-adjusted and absolute returns. We consider a quasi-elastic market with continuous trading where temporary liquidity costs are sufficiently large relative to permanent impact. We show analytically that...

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...