"Optimal portfolio deleveraging under market impact and margin restrictions."

Chanaka Edirisinghe, Jaehwan Jeong, Jingnan Chen (2021)

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DOI: 10.1016/J.EJOR.2021.02.016

access: closed

type: Journal Article

metadata version: 2021-10-14

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Chanaka Edirisinghe, Jaehwan Jeong, Jingnan Chen:
Optimal portfolio deleveraging under market impact and margin restrictions. Eur. J. Oper. Res. 294(2): 746-759 (2021)

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