| 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 | 30* | 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 | 10* | 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 | 3 | 2018 |
| How Much Information Is Required to Time the Market? R Zhang, HLH Wong Available at SSRN 3222469, 2018 | 1 | 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 2016 …, 2016 | 1 | 2016 |
| Optimal foreign exchange hedge tenor with liquidity risk R Zhang, M Aarons, G Loeper Journal of Risk 23 (3), 1-29, 2021 | | 2021 |
| 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 | | 2019 |
| Probabilistic Numerical Methods and Target-Based Investment Strategies for Dynamic Portfolio Optimization R Zhang Monash University, 2018 | | 2018 |
