Rongju Zhang

Commonwealth Scientific and Industrial Research Organization (CSIRO)

Postdoctoral Fellow

Door 34, Goods Shed, Village Street

Docklands, VIC 3008

Australia

SCHOLARLY PAPERS

5

DOWNLOADS

461

CITATIONS

2

Scholarly Papers (5)

1.

Dynamic Portfolio Optimization with Liquidity Cost and Market Impact: A Simulation-and-Regression Approach

Accepted by Quantitative Finance
Number of pages: 27 Posted: 01 Dec 2015 Last Revised: 21 Sep 2018
Commonwealth Scientific and Industrial Research Organization (CSIRO), Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University, Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University - School of Mathematical Sciences and Monash University
Downloads 175 (169,378)
Citation 2

Abstract:

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dynamic portfolio optimization, multi-period asset allocation, transaction cost, liquidity cost, permanent market impact, least squares Monte Carlo

2.

Skewed Target Range Strategy for Multiperiod Portfolio Optimization Using a Two-Stage Least Squares Monte Carlo Method

Journal of Computational Finance, Forthcoming
Number of pages: 25 Posted: 22 Aug 2016 Last Revised: 14 Jun 2019
Commonwealth Scientific and Industrial Research Organization (CSIRO), Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University, Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University - School of Mathematical Sciences and Monash University
Downloads 157 (185,930)

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target-based portfolio optimization, alternative performance measure, multiperiod portfolio optimization, least squares Monte Carlo, two-stage regression

3.

How Much Information Is Required to Time the Market?

Number of pages: 22 Posted: 14 Aug 2018 Last Revised: 13 Dec 2018
Rongju Zhang and Henry LH Wong
Commonwealth Scientific and Industrial Research Organization (CSIRO) and Cbus Super Fund
Downloads 96 (269,057)

Abstract:

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market timing, information coefficient, market exposure, alpha, Sharpe ratio

4.

Dynamic Volatility Management: From Conditional Volatility to Realized Volatility

Forthcoming, Journal of Investment Strategies
Number of pages: 21 Posted: 14 May 2019
Rongju Zhang, Nicolas Langrené, Yu Tian and Zili Zhu
Commonwealth Scientific and Industrial Research Organization (CSIRO), Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University and Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Downloads 32 (452,354)

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volatility management, volatility target, realized volatility, multi-period portfolio management, least squares Monte Carlo

5.

Skewed Target Range Strategy for Multiperiod Portfolio Optimization Using a Two-Stage Least Squares Monte Carlo Method

Journal of Computational Finance, Forthcoming
Number of pages: 31 Posted: 06 Jun 2019
Commonwealth Scientific and Industrial Research Organization (CSIRO), Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University, CSIRO, Monash University - School of Mathematical Sciences and Monash University
Downloads 1 (643,830)
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Abstract:

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target-based portfolio optimization, alternative performance measure, multiperiod portfolio optimization, least squares Monte Carlo, two-stage regression