投资组合最优清算问题的双层规划模型

doi:10.15960/j.cnki.issn.1007-6093.2026.03.003

Abstract

Abstract: To address the limitation of traditional optimal portfolio liquidation models that overlook strategic interactions, this paper develops a bilevel programming model for portfolio liquidation, characterizing the sequential trading game between a leader and a follower. Theoretical analysis explicitly characterizes the follower's optimal strategy, proves that the cash constraint is active at the optimum, and quantifies the leader's additional loss caused by the follower's trading. A hybrid quantum-behaved particle swarm optimization algorithm is designed to solve the nonconvex nested model. Numerical experiments show that a disadvantaged leader tends to preemptively liquidate vulnerable assets to avoid price declines triggered by the follower; ignoring the game mechanism can result in a relative loss of up to 46.6%.

Key words: optimal liquidation, bilevel programming, convex QCQP, financial optimization, portfolio management

CLC Number:

O224

LI Xuepeng, XU Fengmin. A bilevel programming model for optimal portfolio liquidation problem[J]. Operations Research Transactions, 2026, 30(3): 41-55.

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URL: https://www.ort.shu.edu.cn/EN/10.15960/j.cnki.issn.1007-6093.2026.03.003

https://www.ort.shu.edu.cn/EN/Y2026/V30/I3/41

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A bilevel programming model for optimal portfolio liquidation problem

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