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

Jingnan Chen, Liming Feng, Jiming Peng, Yinyu Ye. Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact. Operations Research, 62(1):195-206, 2014. [doi]

Authors

Jingnan Chen

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Liming Feng

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Jiming Peng

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Yinyu Ye

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