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Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact.

Jingnan ChenLiming FengJiming PengYinyu Ye
Published in: Oper. Res. (2014)
Keyphrases
  • dynamic programming
  • optimal solution
  • computational complexity
  • np hard
  • linear programming
  • decision making
  • probabilistic model
  • state space
  • worst case
  • simulated annealing
  • optimization algorithm
  • benchmark problems