SCHOLARLY PAPERS

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796

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (3)

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
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 (85,506)
Citation 1

Abstract:

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

2.

LP-based Control for Network Revenue Management under Markovian Demands

Number of pages: 34 Posted: 13 May 2024
Columbia University, Department of Industrial Engineering and Operations Research (IEOR), Students, Industrial Engineering and Decision Analytics, The Chinese University of Hong Kong, Shenzhen and Independent
Downloads 111 (470,056)

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revenue management, linear programming, online learning, choice model

3.

A Unified Theorem on Sdp Rank Reduction

NYU Working Paper No. OM-2007-02
Number of pages: 15 Posted: 03 Nov 2008
affiliation not provided to SSRN, Independent and affiliation not provided to SSRN
Downloads 80 (574,544)

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