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Xu Fengmin1; Sun Min2; Dai Yuhong3
Source Publicationjournalofsystemsscienceandcomplexity
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.
Document Type期刊论文
Affiliation1.School of Economics and Finance,Xi'an Jiaotong University
Recommended Citation
GB/T 7714
Xu Fengmin,Sun Min,Dai Yuhong. anadaptivelagrangianalgorithmforoptimalportfoliodeleveragingwithcrossimpact[J]. journalofsystemsscienceandcomplexity,2017,30(5):1121.
APA Xu Fengmin,Sun Min,&Dai Yuhong.(2017).anadaptivelagrangianalgorithmforoptimalportfoliodeleveragingwithcrossimpact.journalofsystemsscienceandcomplexity,30(5),1121.
MLA Xu Fengmin,et al."anadaptivelagrangianalgorithmforoptimalportfoliodeleveragingwithcrossimpact".journalofsystemsscienceandcomplexity 30.5(2017):1121.
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