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Optimal deleveraging with nonlinear temporary price impact

Chen, Jingnan; Feng, Liming; Peng, Jiming - In: European journal of operational research : EJOR 244 (2015) 1, pp. 240-247

Persistent link: https://www.econbiz.de/10010531946

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, pp. 195-206

Persistent link: https://www.econbiz.de/10010338535

Market or limit orders?

Mitchell, Daniel; Chen, Jingnan - In: Quantitative finance 20 (2020) 3, pp. 447-461

Persistent link: https://www.econbiz.de/10012194901

An application of sparse-group lasso regularization to equity portfolio optimization and sector selection

Chen, Jingnan; Dai, Gengling; Zhang, Ning - 2020

Persistent link: https://www.econbiz.de/10012165565

Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact

Chen, Jingnan - 2013

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...

Persistent link: https://www.econbiz.de/10013077067

Optimal liquidation of financial derivatives

Chen, Jingnan - In: Finance research letters 34 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012436500

Vulnerability analysis of the financial network

Khabazian, Aein; Peng, Jiming - In: Management science : journal of the Institute for … 65 (2019) 7, pp. 3302-3321

Persistent link: https://www.econbiz.de/10012039993

Self-adaptive support vector machines: modelling and experiments

Du, Peng; Peng, Jiming; Terlaky, Tamás - In: Computational Management Science : CMS 6 (2009) 1, pp. 41-51

Persistent link: https://www.econbiz.de/10003800309

Complexity results and effective algorithms for worst-case linear optimization under uncertainties

Luo, Hezhi; Ding, Xiaodong; Peng, Jiming; Jiang, Rujun; … - In: INFORMS journal on computing : JOC 33 (2021) 1, pp. 180-197

Persistent link: https://www.econbiz.de/10012496371

Computing exponential moments of the discrete maximum of a Lévy process and lookback options

Feng, Liming; Linetsky, Vadim - In: Finance and stochastics 13 (2009) 4, pp. 501-529

Persistent link: https://www.econbiz.de/10003899518