24 citations · 26 across the 4 of their papers we have counts for
4 papers
Optimal FX Hedge Tenor with Liquidity Risk
Rongju Zhang, Mark Aarons, Gregoire Loeper
We develop an optimal currency hedging strategy for fund managers who own foreign assets to choose the hedge tenors that maximize their FX carry returns within a liquidity risk con…
Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization
Rongju Zhang, Nicolas Langrené, Yu Tian +3
The least squares Monte Carlo algorithm has become popular for solving portfolio optimization problems. A simple approach is to approximate the value functions on a discrete grid o…
Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method
Rongju Zhang, Nicolas Langrené, Yu Tian +3
In this paper, we propose a novel investment strategy for portfolio optimization problems. The proposed strategy maximizes the expected portfolio value bounded within a targeted ra…
Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach
Rongju Zhang, Nicolas Langrené, Yu Tian +3
We present a simulation-and-regression method for solving dynamic portfolio allocation problems in the presence of general transaction costs, liquidity costs and market impacts. Th…