An adaptive Lagrangian algorithm for optimal portfolio deleveraging with cross-impact
Crossref DOI link: https://doi.org/10.1007/s11424-017-5299-1
Published Online: 2017-03-21
Published Print: 2017-10
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Xu, Fengmin
Sun, Min
Dai, Yuhong
License valid from 2017-03-21