An adaptive Lagrangian algorithm for optimal portfolio deleveraging with cross-impact
文献类型：期刊论文
| 作者 | Xu, Fengmin1; Sun, Min2; Dai, Yuhong3
|
| 刊名 | JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
 |
| 出版日期 | 2017-10-01 |
| 卷号 | 30期号:5页码:1121-1135 |
| 关键词 | Adaptive Lagrangian algorithm deleveraging price cross-impact |
| ISSN号 | 1009-6124 |
| DOI | 10.1007/s11424-017-5299-1 |
| 英文摘要 | 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. |
| 资助项目 | Chinese Natural Science Foundation[11571271] ; Chinese Natural Science Foundation[11331012] ; Chinese Natural Science Foundation[71331001] ; Chinese Natural Science Foundation[11631013] ; National Funds for Distinguished Young Scientists[11125107] ; National 973 Program of China[2015CB856000] |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000406359400010 |
| 出版者 | SPRINGER HEIDELBERG |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/26191]  |
| 专题 | 计算数学与科学工程计算研究所 |
| 通讯作者 | Xu, Fengmin |
| 作者单位 | 1.Xi An Jiao Tong Univ, Sch Econ & Finance, Xian 710049, Shaanxi, Peoples R China 2.Xi An Jiao Tong Univ, Sch Math & Stat, Xian 710049, Shaanxi, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Inst Computat Math & Sci Engn Comp, State Key Lab Sci & Engn Comp, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Xu, Fengmin,Sun, Min,Dai, Yuhong. An adaptive Lagrangian algorithm for optimal portfolio deleveraging with cross-impact[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2017,30(5):1121-1135. |
| APA | Xu, Fengmin,Sun, Min,&Dai, Yuhong.(2017).An adaptive Lagrangian algorithm for optimal portfolio deleveraging with cross-impact.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,30(5),1121-1135. |
| MLA | Xu, Fengmin,et al."An adaptive Lagrangian algorithm for optimal portfolio deleveraging with cross-impact".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 30.5(2017):1121-1135. |
入库方式： OAI收割
来源：数学与系统科学研究院
浏览0
下载0
收藏0
其他版本
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。