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Optimizing Portfolio Liquidation Under Risk-Based Margin Requirements

https://doi.org/10.2139/ssrn.2035562
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14/14 checkable references clean · checked 2026-08-16

Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.

6 without a DOI — not checked. A reference deposited without a DOI is never matched by title or guessed at; it stays outside the checked set, and this line discloses that.

The 14 checked references that resolve
resolves10.4064/bc83-0-1
Constrained portfolio liquidation in a limit order book model
resolves10.1086/260062
The Pricing of Options and Corporate Liabilities
resolves10.1007/bf01580735
Approximate solution of the trust region problem by minimization over two-dimensional subspaces
resolves10.1007/bf00932218
Two new unconstrained optimization algorithms which use function and gradient values
resolves10.2139/ssrn.1118039
Safer Margins for Option Trading: How Accuracy Promotes Efficiency
resolves10.2139/ssrn.40552
Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since The Crash?
resolves10.1016/0304-405x(76)90022-2
Option pricing when underlying stock returns are discontinuous
resolves10.1137/0904038
Computing a Trust Region Step
resolves10.1007/b98874
Numerical Optimization
resolves10.1016/b978-0-12-597050-1.50006-3
A New Algorithm for Unconstrained Optimization
resolves10.1080/13504860903565050
Optimal Basket Liquidation for CARA Investors is Deterministic
resolves10.1007/s00780-008-0082-8
Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
resolves10.1007/s00780-016-0290-6
Adaptive basket liquidation
resolves10.1137/0719026
Newton’s Method with a Model Trust Region Modification
The 6 references without a DOI — listed, not checked
no DOI — not checkedref2
no DOI — not checkedref5
no DOI — not checkedAsk the professor -portfolio margining -how will Dodd-Frank impact its utilitzation
no DOI — not checkedref10
no DOI — not checkedAn introduction to portfolio margining
no DOI — not checkedMargin purchases, brokers' loans and the bull market of the twenties
What this badge says. CiteStamped means the CHECKABLE references of this work were clean at the dated check: each resolved to a known work in a public registry, and none carried a retraction notice at that time. It says nothing about the quality, findings, or importance of the work itself, and nothing about references deposited without a DOI.

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