Rongju Zhang
Rongju Zhang
Monash Centre for Quantitative Finance and Investment Strategies
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Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach
R Zhang, N Langrené, Y Tian, Z Zhu, F Klebaner, K Hamza
Quantitative Finance 19 (3), 519-532, 2019
Skewed target range strategy for multi-period portfolio optimization using a two-stage least squares Monte Carlo Method
R Zhang, N Langrené, Y Tian, Z Zhu, F Klebaner, K Hamza
Journal of Computational Finance 23 (1), 97-127, 2019
Local control regression: Improving the least squares Monte Carlo method for portfolio optimization
R Zhang, N Langrené, Y Tian, Z Zhu, F Klebaner, K Hamza
arXiv preprint arXiv:1803.11467, 2018
The Effects of Liquidity on Multi-period Portfolio Selection: A Case Study of American Sector ETFs
R Zhang, N Langrené, Y Tian, Z Zhu, FC Klebaner, K Hamza
Annual International Conference on Operations Research and Statistics (ORS …, 2016
Application on multi-attribute decision making method based on normal random variables in risk control of economic management
J Zhao, J Yu, R Zhang
Electronic Research Archive 28 (1), 453, 2020
Optimal FX Hedge Tenor with Liquidity Risk
R Zhang, M Aarons, G Loeper
arXiv preprint arXiv:1903.06346, 2019
Dynamic Volatility Management: From Conditional Volatility to Realized Volatility
R Zhang, N Langrené, Y Tian, Z Zhu
Journal of Investment Strategies 8 (2), 37-67, 2019
How Much Information Is Required to Time the Market?
R Zhang, HLH Wong
Available at SSRN 3222469, 2018
Probabilistic Numerical Methods and Target-Based Investment Strategies for Dynamic Portfolio Optimization
R Zhang
Monash University, 2018
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