24 citations · 39 across the 4 of their papers we have counts for
4 papers
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…
Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model
Nicolas Langrené, Geoffrey Lee, Zili Zhu
This paper introduces the Inverse Gamma (IGa) stochastic volatility model with time-dependent parameters, defined by the volatility dynamics $dV_{t}=κ_{t}\left(θ_{t}-V_{t}\right)dt…