"An adaptive Lagrangian algorithm for optimal portfolio deleveraging with ..."

Fengmin Xu, Min Sun, Yuhong Dai (2017)

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DOI: 10.1007/S11424-017-5299-1

access: closed

type: Journal Article

metadata version: 2020-06-08

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Fengmin Xu, Min Sun, Yuhong Dai:
An adaptive Lagrangian algorithm for optimal portfolio deleveraging with cross-impact. J. Syst. Sci. Complex. 30(5): 1121-1135 (2017)

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