Rongju Zhang

Rongju Zhang

Monash University - Clayton / Australia
Economics & Econometrics / Accounting & Finance
AD Scientific Index ID: 5235437
Monash University
person_outline Rongju Zhang's MOST POPULAR ARTICLES
1-) Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach Quantitative Finance 19 (3), 519-532, 2019
2-) Skewed target range strategy for multi-period portfolio optimization using a two-stage least squares Monte Carlo method Journal of Computational Finance 23 (1), 97-127, 2019
3-) Local control regression: Improving the least squares Monte Carlo method for portfolio optimization arXiv preprint arXiv:1803.11467, 2018
4-) How Much Information Is Required to Time the Market? Available at SSRN 3222469, 2018
5-) The effects of liquidity on multi-period portfolio selection: A case study of American sector ETFs Annual International Conference on Operations Research and Statistics 2016 …, 2016