anadaptivelagrangianalgorithmforoptimalportfoliodeleveragingwithcrossimpact

	anadaptivelagrangianalgorithmforoptimalportfoliodeleveragingwithcrossimpact
	Xu Fengmin 1; Sun Min 2; Dai Yuhong3
	2017
Source Publication	journalofsystemsscienceandcomplexity
ISSN	1009-6124
Volume	30 Issue:5 Pages:1121
Abstract	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.
Language	英语
Document Type	期刊论文
Identifier	http://ir.amss.ac.cn/handle/2S8OKBNM/42235
Collection	计算数学与科学工程计算研究所
Affiliation	1.School of Economics and Finance,Xi'an Jiaotong University 2.西安交通大学 3.中国科学院数学与系统科学研究院
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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