97 citations · 329 across the 13 of their papers we have counts for
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q-fin.PM2018★ 1 cited
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…
q-fin.PM2017★ 1 cited
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…