Nicolas Langrené

Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)

Research Scientist

Melbourne

Australia

SCHOLARLY PAPERS

7

DOWNLOADS

557

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (7)

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 184 (175,759)
Citation 2

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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 (201,690)

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

3.

Switching to Non-Affine Stochastic Volatility: A Closed-Form Expansion for the Inverse Gamma Model

International Journal of Theoretical and Applied Finance, Vol. 19, No. 5, 2016
Number of pages: 30 Posted: 10 Jul 2015 Last Revised: 27 Oct 2016
Nicolas Langrené, Geoffrey Lee and Zili Zhu
Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Downloads 102 (279,813)
Citation 1

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stochastic volatility, Inverse Gamma, volatility expansion, closed-form pricing, log-normal, mean-reverting SABR

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 75 (338,539)

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

5.

Using Stochastic Economic Scenario Generators to Analyse Uncertain Superannuation Outcomes

Number of pages: 40 Posted: 22 May 2019
CSIRO Data61, Monash University - Department of Econometrics and Business Statistics, Monash Business School, Monash University - Department of Econometrics & Business Statistics, Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation) and Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Downloads 37 (465,752)

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superannuation, Economic Scenarios Generator, SUPA model, Monte Carlo simulation, accumulation, decumulation, Age Pension, retirement income

6.

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 (692,914)
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target-based portfolio optimization, alternative performance measure, multiperiod portfolio optimization, least squares Monte Carlo, two-stage regression

7.

Robust utility maximization under model uncertainty via a penalization approach

Number of pages: 33
Ivan Guo, Nicolas Langrené, Gregoire Loeper and Wei Ning
Monash University - School of Mathematical Sciences, Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University - School of Mathematical Sciences and Monash University - School of Mathematical Sciences
Downloads 1

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robust portfolio optimization, differential games, HJBI equation, Monte Carlo, GANs