Behavior Analysis and Greedy Algorithm for Optimal Portfolio Liquidation with Market Impact

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：liweibo2555

【摘要】

：

　　We analyze a nonconvex portfolio liquidation problem that maximize equity after trading subject to specified liability=equity requirements and box constrain

【作者】

：

XU FFENGMIN

【机构】

：

Xi'an Jiaotong Univ.

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

下载到本地 , 更方便阅读

下载此文赞助VIP

声明 : 本文档内容版权归属内容提供方 , 如果您对本文有版权争议 , 可与客服联系进行内容授权或下架

论文部分内容阅读

　　We analyze a nonconvex portfolio liquidation problem that maximize equity after trading subject to specified liability=equity requirements and box constrains,with no restrictions on the relative magnitudes of permanent and temporary market impact.

其他文献

A PDE-free Variational Model for Multiphase Image Segmentation

　　We introduce a PDE-free variational model for multiphase image segmentation in a modified diffuse interface context.This model uses such features of diffuse

会议

Multidimensional Ill-posed Problems in Applications

　　It is very important now to develop methods of solving multidimensional ill-posed problems using regularization procedures and parallel computers.The main p

会议

A General Inertial Proximal Point Method for Mixed Variational Inequality Problem

　　We propose inertial variants of the proximal point method and the ADMM.Under certain conditions,we are able to establish the global convergence and o(1/k)co

会议

A Blind Separation Method Based on Multiwavelet Analysis

　　The purpose of blind source separation is to separate the original sources from the sensor array,without knowing the transmission channel characteristics.

会议

A Dual Method for Minimizing A Nonsmooth Objective over One Smooth Inequality Constraint

　　We consider the class of nondifferentiable convex problems which minimizes a nonsmooth convex objective over a smooth inequality constraint.Exploiting the s

会议

Some Real Problem on Inverse of Optimal Approximation of Water Flow

　　In Brazil some big river passes inside the city.During the rain season,it causes civil troubles because of water-plant on the surface of river.We like to de

会议

Pulse Wave Analysis in Time-frequency Domain

　　Assessment of the pulse character for disease diagnosis is one of the key medical skills in Traditional Chinese Medicine practice.When and where abnormaliti

会议

Analysis of In-Core Flux Detector Noise Using the Generalized S Transform

　　The CANDU reactor is a Canadian-invented,pressurized heavy water reactor.In-core flux detector signal data is routinely acquired from all CANDU reactors,whi

会议

Time-frequency Analysis as An Analysis Tool of Brain Networks

　　Time-frequency representations depict variations of the spectral characteristics of signals as a function of time,which is ideally suited for nonstationary

会议

Stochastic Compositional Gradient Descent:Algorithms for Minimizing Compositions of Expected-Value F

　　We focus on the minimization of a composition of two expectedvalue functions.In order to solve this stochastic composition problem,we propose a class of sto

会议

Behavior Analysis and Greedy Algorithm for Optimal Portfolio Liquidation with Market Impact

其他学术论文