Yinyu Ye

Independent

No Address Available

SCHOLARLY PAPERS

2

DOWNLOADS

571

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
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 (54,420)

Abstract:

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

2.

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 47 (412,823)

Abstract:

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