An adaptive Lagrangian algorithm for optimal portfolio deleveraging with cross-impact

doi:10.1007/s11424-017-5299-1

	An adaptive Lagrangian algorithm for optimal portfolio deleveraging with cross-impact
	Xu, Fengmin 1; Sun, Min 2; Dai, Yuhong3
	2017-10-01
发表期刊	JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN	1009-6124
卷号	30 期号:5 页码:1121-1135
摘要	This 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.
关键词	Adaptive Lagrangian algorithm deleveraging price cross-impact
DOI	10.1007/s11424-017-5299-1
语种	英语
资助项目	Chinese 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研究方向	Mathematics
WOS类目	Mathematics, Interdisciplinary Applications
WOS记录号	WOS:000406359400010
出版者	SPRINGER HEIDELBERG
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/26192
专题	计算数学与科学工程计算研究所
通讯作者	Xu, Fengmin
作者单位	1.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
推荐引用方式 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.