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An adaptive Lagrangian algorithm for optimal portfolio deleveraging with cross-impact
Xu, Fengmin1; Sun, Min2; Dai, Yuhong3
2017-10-01
Source PublicationJOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN1009-6124
Volume30Issue:5Pages:1121-1135
AbstractThis paper considers the problem of optimal portfolio deleveraging, which is a crucial problem in finance. Taking the permanent and temporary price cross-impact into account, the authors establish a quadratic program with box constraints and a singly quadratic constraint. Under some assumptions, the authors give an optimal trading priority and show that the optimal solution must be achieved when the quadratic constraint is active. Further, the authors propose an adaptive Lagrangian algorithm for the model, where a piecewise quadratic root-finding method is used to find the Lagrangian multiplier. The convergence of the algorithm is established. The authors also present some numerical results, which show the usefulness of the algorithm and validate the optimal trading priority.
KeywordAdaptive Lagrangian algorithm deleveraging price cross-impact
DOI10.1007/s11424-017-5299-1
Language英语
Funding ProjectChinese Natural Science Foundation[11571271] ; Chinese Natural Science Foundation[11331012] ; Chinese Natural Science Foundation[71331001] ; Chinese Natural Science Foundation[11631013] ; National Funds for Distinguished Young Scientists[11125107] ; National 973 Program of China[2015CB856000]
WOS Research AreaMathematics
WOS SubjectMathematics, Interdisciplinary Applications
WOS IDWOS:000406359400010
PublisherSPRINGER HEIDELBERG
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Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/26192
Collection计算数学与科学工程计算研究所
Affiliation1.Xi An Jiao Tong Univ, Sch Econ & Finance, Xian 710049, Shaanxi, Peoples R China
2.Xi An Jiao Tong Univ, Sch Math & Stat, Xian 710049, Shaanxi, Peoples R China
3.Chinese Acad Sci, Acad Math & Syst Sci, Inst Computat Math & Sci Engn Comp, State Key Lab Sci & Engn Comp, Beijing 100190, Peoples R China
Recommended Citation
GB/T 7714
Xu, Fengmin,Sun, Min,Dai, Yuhong. An adaptive Lagrangian algorithm for optimal portfolio deleveraging with cross-impact[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2017,30(5):1121-1135.
APA Xu, Fengmin,Sun, Min,&Dai, Yuhong.(2017).An adaptive Lagrangian algorithm for optimal portfolio deleveraging with cross-impact.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,30(5),1121-1135.
MLA Xu, Fengmin,et al."An adaptive Lagrangian algorithm for optimal portfolio deleveraging with cross-impact".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 30.5(2017):1121-1135.
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