Jingnan Chen

University of Illinois at Urbana-Champaign

601 E John St

Champaign, IL 61820

United States

SCHOLARLY PAPERS

2

DOWNLOADS

628

SSRN CITATIONS

0

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 524 (54,459)

Abstract:

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

2.

Measuring the Unmeasurable: An Application of Uncertainty Quantification to Financial Portfolios

Office of Financial Research Working Paper No. 15-19
Number of pages: 24 Posted: 03 Oct 2015
Jingnan Chen, Mark D. Flood and Richard Sowers
University of Illinois at Urbana-Champaign, R. H. Smith School of Business, U. of Maryland and University of Illinois at Urbana-Champaign - Department of Mathematics
Downloads 104 (267,762)

Abstract:

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