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