2 papers
q-fin.RM2019
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…
q-fin.PM2018
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…