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Optimal portfolio deleveraging under market impact and margin restrictions.

Chanaka EdirisingheJaehwan JeongJingnan Chen
Published in: Eur. J. Oper. Res. (2021)
Keyphrases
  • optimal portfolio
  • asset allocation
  • portfolio selection
  • support vector
  • expected utility
  • maximum margin
  • stock market
  • stock price
  • financial markets
  • financial data