An Adaptive Lagrangian Algorithm for Optimal Portfolio Deleveraging with Cross-Impact

XU Fengmin,SUN Min,DAI Yuhong

系统科学与复杂性(英文) ›› 2017, Vol. 30 ›› Issue (5) : 1121-1135.

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PDF(213 KB)
系统科学与复杂性(英文) ›› 2017, Vol. 30 ›› Issue (5) : 1121-1135. DOI: 10.1007/s11424-017-5299-1

An Adaptive Lagrangian Algorithm for Optimal Portfolio Deleveraging with Cross-Impact

    XU Fengmin1 , SUN Min2 , DAI Yuhong3
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An Adaptive Lagrangian Algorithm for Optimal Portfolio Deleveraging with Cross-Impact

    XU Fengmin1 , SUN Min2 , DAI Yuhong3
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{{article.zuoZheCn_L}}. {{article.title_cn}}. {{journal.qiKanMingCheng_CN}}, 2017, 30(5): 1121-1135 https://doi.org/10.1007/s11424-017-5299-1
{{article.zuoZheEn_L}}. {{article.title_en}}. {{journal.qiKanMingCheng_EN}}, 2017, 30(5): 1121-1135 https://doi.org/10.1007/s11424-017-5299-1
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