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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
Authors:  Xu, Fengmin;  Li, Xuepeng;  Dai, Yu-Hong;  Wang, Meihua
Favorite  |  View/Download:52/0  |  Submit date:2023/02/07
augmented Lagrangian algorithm  equity and liability  optimal portfolio liquidation  price impact