New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact-Reference-Cited by-同舟云学术

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New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact

Published:2022-10-12 Issue:5 Volume:30 Page:2640-2664
ISSN:0969-6016
Container-title:International Transactions in Operational Research
language:en
Short-container-title:Int Trans Operational Res

Author:

Xu Fengmin¹^ORCID,Li Xuepeng¹,Dai Yu‐Hong²³,Wang Meihua⁴

Affiliation:

1. School of Economics and Finance Xi'an Jiaotong University Xi'an 710061 China

2. LSEC Academy of Mathematics of Systems Science Chinese Academy of Sciences Beijing 100190 China

3. School of Mathematical Sciences University of Chinese Academy of Sciences Beijing 100049 China

4. School of Economics & Management Xidian University Xi'an 710126 China

Funder

National Natural Science Foundation of China

Publisher

Wiley

Subject

Management of Technology and Innovation,Management Science and Operations Research,Strategy and Management,Computer Science Applications,Business and International Management

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/itor.13219

Reference25 articles.

1. Augmented Lagrangian methods under the constant positive linear dependence constraint qualification

2. Optimal portfolio liquidation with additional information

3. Nonlinear Programming

4. Projected Newton Methods for Optimization Problems with Simple Constraints

5. Optimal control of execution costs

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