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New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact.
Fengmin Xu
Xuepeng Li
Yu-Hong Dai
Meihua Wang
Published in:
Int. Trans. Oper. Res. (2023)
Keyphrases
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augmented lagrangian
optimal solution
cost function
dynamic programming
np hard
objective function
search space
worst case
optimization algorithm
genetic algorithm
image processing
simulated annealing
graph cuts
knapsack problem