Effective algorithms for optimal portfolio deleveraging problem with cross impact
Year of publication: |
2024
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Authors: | Luo, Hezhi ; Chen, Yuanyuan ; Zhang, Xianye ; Li, Duan ; Wu, Huixian |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 34.2024, 1, p. 36-89
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Subject: | branch-and-bound | convex relaxation | cross-asset price impact | nonconvex quadratic program | optimal portfolio deleveraging | successive convex optimization | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection |
Type of publication: | Article |
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Type of publication (narrower categories): | Konferenzbeitrag ; Conference paper ; Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.1111/mafi.12383 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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