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

XU Fengmin,SUN Min,DAI Yuhong

Journal of Systems Science & Complexity ›› 2017, Vol. 30 ›› Issue (5) : 1121-1135.

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中国科学院数学与系统科学研究院期刊网
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Journal of Systems Science & Complexity ›› 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

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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Complexity, 2017, 30(5): 1121-1135 https://doi.org/10.1007/s11424-017-5299-1

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