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New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact 期刊论文
INTERNATIONAL TRANSACTIONS IN OPERATIONAL RESEARCH, 2022, 页码: 25
作者:  Xu, Fengmin;  Li, Xuepeng;  Dai, Yu-Hong;  Wang, Meihua
收藏  |  浏览/下载：82/0  |  提交时间：2023/02/07
augmented Lagrangian algorithm  equity and liability  optimal portfolio liquidation  price impact  
Fast algorithms for sparse portfolio selection considering industries and investment styles 期刊论文
JOURNAL OF GLOBAL OPTIMIZATION, 2020, 页码: 27
作者:  Dong, Zhi-Long;  Xu, Fengmin;  Dai, Yu-Hong
收藏  |  浏览/下载：145/0  |  提交时间：2020/06/30
Portfolio selection  Industry classification  Style investment  ADMM  Sparse optimization  
Smoothing quadratic regularization method for hemivariational inequalities 期刊论文
OPTIMIZATION, 2020, 页码: 24
作者:  Zhang, Yanfang;  Dai, Yu-Hong;  Han, Weimin;  Li, Zhibao
收藏  |  浏览/下载：165/0  |  提交时间：2020/05/24
Hemivariational inequality  contact mechanics  nonmonotone  nonsmooth optimization problem  smoothing quadratic regularization