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]
@article{ChenFPY14,
title = {Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact},
author = {Jingnan Chen and Liming Feng and Jiming Peng and Yinyu Ye},
year = {2014},
doi = {10.1287/opre.2013.1222},
url = {http://dx.doi.org/10.1287/opre.2013.1222},
researchr = {https://researchr.org/publication/ChenFPY14},
cites = {0},
citedby = {0},
journal = {Operations Research},
volume = {62},
number = {1},
pages = {195-206},
}