FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W3169262658> ?p ?o ?g. }

• W3169262658 abstract "Abstract We investigate the optimal portfolio deleveraging (OPD) problem with permanent and temporary price impacts, where the objective is to maximize equity while meeting a prescribed debt/equity requirement. We take the real situation with cross impact among different assets into consideration. The resulting problem is, however, a nonconvex quadratic program with a quadratic constraint and a box constraint, which is known to be NP‐hard. In this paper, we first develop a successive convex optimization (SCO) approach for solving the OPD problem and show that the SCO algorithm converges to a KKT point of its transformed problem. Second, we propose an effective global algorithm for the OPD problem, which integrates the SCO method, simple convex relaxation, and a branch‐and‐bound framework, to identify a global optimal solution to the OPD problem within a prespecified ε‐tolerance. We establish the global convergence of our algorithm and estimate its complexity. We also conduct numerical experiments to demonstrate the effectiveness of our proposed algorithms with both real data and randomly generated medium‐ and large‐scale OPD instances." @default.
• W3169262658 created "2021-06-22" @default.
• W3169262658 creator A5006033623 @default.
• W3169262658 creator A5015130549 @default.
• W3169262658 creator A5025452128 @default.
• W3169262658 creator A5071703782 @default.
• W3169262658 creator A5074160086 @default.
• W3169262658 date "2023-03-30" @default.
• W3169262658 modified "2023-10-14" @default.
• W3169262658 title "Effective algorithms for optimal portfolio deleveraging problem with cross impact" @default.
• W3169262658 cites W121895575 @default.
• W3169262658 cites W1530501119 @default.
• W3169262658 cites W1582056940 @default.
• W3169262658 cites W1589133845 @default.
• W3169262658 cites W1812813109 @default.
• W3169262658 cites W187184694 @default.
• W3169262658 cites W1988270113 @default.
• W3169262658 cites W1988622494 @default.
• W3169262658 cites W1994631496 @default.
• W3169262658 cites W2000923338 @default.
• W3169262658 cites W2020710668 @default.
• W3169262658 cites W2021674665 @default.
• W3169262658 cites W2025308368 @default.
• W3169262658 cites W2027953212 @default.
• W3169262658 cites W2028821420 @default.
• W3169262658 cites W2033308164 @default.
• W3169262658 cites W2037458109 @default.
• W3169262658 cites W2038611554 @default.
• W3169262658 cites W2045148236 @default.
• W3169262658 cites W2063676335 @default.
• W3169262658 cites W2075161899 @default.
• W3169262658 cites W2078237894 @default.
• W3169262658 cites W2089986028 @default.
• W3169262658 cites W2091850740 @default.
• W3169262658 cites W2113831982 @default.
• W3169262658 cites W2123871098 @default.
• W3169262658 cites W2125131856 @default.
• W3169262658 cites W2137190019 @default.
• W3169262658 cites W2139869783 @default.
• W3169262658 cites W2140214428 @default.
• W3169262658 cites W2141552954 @default.
• W3169262658 cites W2149365825 @default.
• W3169262658 cites W2152947363 @default.
• W3169262658 cites W2221524898 @default.
• W3169262658 cites W2283011633 @default.
• W3169262658 cites W2566307151 @default.
• W3169262658 cites W2741434228 @default.
• W3169262658 cites W2888026831 @default.
• W3169262658 cites W2962782348 @default.
• W3169262658 cites W3036094844 @default.
• W3169262658 cites W3121947269 @default.
• W3169262658 cites W3123679547 @default.
• W3169262658 cites W3123772657 @default.
• W3169262658 cites W3124147514 @default.
• W3169262658 cites W3174059216 @default.
• W3169262658 cites W4211141987 @default.
• W3169262658 cites W4231143303 @default.
• W3169262658 cites W9274362 @default.
• W3169262658 doi "https://doi.org/10.1111/mafi.12383" @default.
• W3169262658 hasPublicationYear "2023" @default.
• W3169262658 type Work @default.
• W3169262658 sameAs 3169262658 @default.
• W3169262658 citedByCount "0" @default.
• W3169262658 crossrefType "journal-article" @default.
• W3169262658 hasAuthorship W3169262658A5006033623 @default.
• W3169262658 hasAuthorship W3169262658A5015130549 @default.
• W3169262658 hasAuthorship W3169262658A5025452128 @default.
• W3169262658 hasAuthorship W3169262658A5071703782 @default.
• W3169262658 hasAuthorship W3169262658A5074160086 @default.
• W3169262658 hasBestOaLocation W31692626582 @default.
• W3169262658 hasConcept C10138342 @default.
• W3169262658 hasConcept C112680207 @default.
• W3169262658 hasConcept C11413529 @default.
• W3169262658 hasConcept C120527767 @default.
• W3169262658 hasConcept C126255220 @default.
• W3169262658 hasConcept C129844170 @default.
• W3169262658 hasConcept C15744967 @default.
• W3169262658 hasConcept C162324750 @default.
• W3169262658 hasConcept C2524010 @default.
• W3169262658 hasConcept C2776029896 @default.
• W3169262658 hasConcept C2779019792 @default.
• W3169262658 hasConcept C2780821815 @default.
• W3169262658 hasConcept C33923547 @default.
• W3169262658 hasConcept C41008148 @default.
• W3169262658 hasConcept C50454189 @default.
• W3169262658 hasConcept C77805123 @default.
• W3169262658 hasConceptScore W3169262658C10138342 @default.
• W3169262658 hasConceptScore W3169262658C112680207 @default.
• W3169262658 hasConceptScore W3169262658C11413529 @default.
• W3169262658 hasConceptScore W3169262658C120527767 @default.
• W3169262658 hasConceptScore W3169262658C126255220 @default.
• W3169262658 hasConceptScore W3169262658C129844170 @default.
• W3169262658 hasConceptScore W3169262658C15744967 @default.
• W3169262658 hasConceptScore W3169262658C162324750 @default.
• W3169262658 hasConceptScore W3169262658C2524010 @default.
• W3169262658 hasConceptScore W3169262658C2776029896 @default.
• W3169262658 hasConceptScore W3169262658C2779019792 @default.
• W3169262658 hasConceptScore W3169262658C2780821815 @default.
• W3169262658 hasConceptScore W3169262658C33923547 @default.
• W3169262658 hasConceptScore W3169262658C41008148 @default.

• next