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math.OC2021★ 1 cited
Effective Algorithms for Optimal Portfolio Deleveraging Problem with Cross Impact
Hezhi Luo, Yuanyuan Chen, Xianye Zhang +2
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 deb…
math.OC2020
Scenario-decomposition Solution Framework for Nonseparable Stochastic Control Problems
Xin Huang, Duan Li, Daniel Zhuoyu Long
When stochastic control problems do not possess separability and/or monotonicity, the dynamic programming pioneered by Bellman in 1950s fails to work as a time-decomposition soluti…