2026-09-23T08:05:03Z https://www.ideals.illinois.edu/oai-pmh

oai:www.ideals.illinois.edu:2142/50347 2023-07-11 col_2142_5131 col_2142_16359 com_2142_5130 com_2142_16358 com_2142_234

Feng, Liming Peng, Jiming Feng, Liming Peng, Jiming Birge, John Shen, Jianhong Sowers, Richard B. Chen, Jingnan 2014-09-16T17:11:54Z 2014-09-16T17:11:54Z 2016-09-22T20:59:06Z 2014-08 2014-09-16 2014-08 The 2008 Financial Crisis highlighted the importance of effective portfolio deleveraging and liquidation strategies, which is critical to surviving financial distress and maintaining system stability. This thesis studies two related problems: which portion of the portfolio should be executed to relieve the financial distress and how the execution should be conducted to balance the trading cost and the trading risk. An optimal deleveraging strategy determines what portion of the portfolio needs to be liquidated to reduce leverage at the minimal trading cost. While an optimal execution strategy tells how liquidation should proceed to minimize the cost and risk. In this thesis, we formulate a one-period optimal deleveraging problem as a non-convex quadratic (polynomial) program with quadratic (polynomial) and box constraints under linear (nonlinear) market price impact functions. A Lagrangian algorithm is developed to numerically solve the NP-hard problem and estimate the quality of the solution. We further propose a two-period robust deleveraging program to account for market uncertainties. Depending on whether the portfolio contains derivative securities, the robust optimization program can be converted to either a convex semidefinite program or a convex second-order cone program, both of which are computationally tractable. We model the optimal execution problem as a stochastic control program and propose a Markov chain approximation scheme to numerically obtain the optimal trading trajectory. We also analyze theoretically how asset characteristics and market conditions affect the optimal deleveraging and execution strategies, which provides guidance on how to design trading policies from qualitative aspects. Item withdrawn by Laura Spradlin (lspradl2@illinois.edu) on 2014-06-30T16:54:05Z Item was in collections: University of Illinois Theses & Dissertations (ID: 1) No. of bitstreams: 1 Chen_Jingnan.pdf: 830537 bytes, checksum: f64675c0c1f59cc0c5cd82ec1bdc36e9 (MD5) Made available in DSpace on 2014-09-16T17:11:54Z (GMT). No. of bitstreams: 2 Jingnan_Chen.pdf: 830537 bytes, checksum: f64675c0c1f59cc0c5cd82ec1bdc36e9 (MD5) license.txt: 4061 bytes, checksum: 546a92e1e5eff4517992cd95555cd6b9 (MD5) Embargo set by: Seth Robbins for item 50458 Lift date: 2016-09-16T17:13:01Z Reason: Author requested closed access (OA after 2yrs) in Vireo ETD system Limited Restriction Lifted for Item 50458 on 2016-09-22T20:59:06Z. http://hdl.handle.net/2142/50347 en Copyright 2014 Jingnan Chen Portfolio Deleveraging Portfolio Liquidation Market Impact Quadratic Program Markov Chain Approximation Optimal deleveraging and liquidation of financial portfolios with market impact text Industrial&Enterprise Sys Eng 1422 Industrial Engineering 0127 University of Illinois at Urbana-Champaign Dissertation Ph.D. PHD:Industrial Enginerng -UIUC 10KS0127PHD