anadaptivelagrangianalgorithmforoptimalportfoliodeleveragingwithcrossimpact

	anadaptivelagrangianalgorithmforoptimalportfoliodeleveragingwithcrossimpact
	Xu Fengmin 1; Sun Min 2; Dai Yuhong3
	2017
发表期刊	journalofsystemsscienceandcomplexity
ISSN	1009-6124
卷号	30 期号:5 页码:1121
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.
语种	英语
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/42235
专题	计算数学与科学工程计算研究所
作者单位	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
推荐引用方式 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.