Jiming Peng

University of Houston

4800 Calhoun Road

Houston, TX 77204

United States

SCHOLARLY PAPERS

2

DOWNLOADS

869

SSRN CITATIONS

7

CROSSREF CITATIONS

2

Scholarly Papers (2)

1.

Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact

Operations Research, Forthcoming
Number of pages: 19 Posted: 28 Aug 2013 Last Revised: 12 Sep 2013
Jingnan Chen, Liming Feng, Jiming Peng and Yinyu Ye
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering, University of Houston and Independent
Downloads 605 (85,366)
Citation 1

Abstract:

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optimal de-leveraging, permanent and temporary price impact, non-convex quadratic program, Lagrangian method, break-point

2.

Vulnerability Analysis of the Financial Network

Forthcoming in Management Science
Number of pages: 40 Posted: 10 Feb 2016 Last Revised: 26 Apr 2018
Aein Khabazian and Jiming Peng
University of Houston and University of Houston
Downloads 264 (219,159)
Citation 2

Abstract:

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Financial network, Systemic risk, Linear optimization, Feasibility analysis, Stochastic optimization, Probability