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"New insights and augmented Lagrangian algorithm for optimal portfolio ..."

Fengmin Xu et al. (2023)

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DOI: 10.1111/ITOR.13219

access: closed

type: Journal Article

metadata version: 2023-06-02

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Fengmin Xu, Xuepeng Li, Yu-Hong Dai, Meihua Wang:
New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact. Int. Trans. Oper. Res. 30(5): 2640-2664 (2023)

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