Optimal Impact Portfolios with General Dependence and Marginals

• Andrew W. Lo

  Andrew W. Lo

  [email protected]

  MIT Sloan School of Management, Cambridge, Massachusetts 02142;Laboratory for Financial Engineering, Massachusetts Institute of Technology, Cambridge, Massachusetts 02142;Computer Science and Artificial Intelligence Laboratory, Massachusetts Institute of Technology, Cambridge, Massachusetts 02142;Santa Fe Institute, Santa Fe, New Mexico 87501;

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• Lan Wu

  Lan Wu

  [email protected]

  School of Mathematical Sciences, Peking University, Beijing 100871, China;Laboratory for Mathematical Economics and Quantitative Finance, Peking University, Beijing 100871, China;

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  ,
• Ruixun Zhang

  Corresponding Author

  Ruixun Zhang

  [email protected]

  https://orcid.org/0000-0002-7670-8393

  School of Mathematical Sciences, Peking University, Beijing 100871, China;Laboratory for Mathematical Economics and Quantitative Finance, Peking University, Beijing 100871, China;Center for Statistical Science, Peking University, Beijing 100871, China;National Engineering Laboratory for Big Data Analysis and Applications, Peking University, Beijing 100871, China

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• Chaoyi Zhao

  Corresponding Author

  Chaoyi Zhao

  [email protected]

  https://orcid.org/0000-0002-5921-3612

  School of Mathematical Sciences, Peking University, Beijing 100871, China;

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