97 citations · 329 across the 13 of their papers we have counts for
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stat.CO2017★ 52 cited
Fast and stable multivariate kernel density estimation by fast sum updating
Nicolas Langrené, Xavier Warin
Kernel density estimation and kernel regression are powerful but computationally expensive techniques: a direct evaluation of kernel density estimates at evaluation points give…
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…