Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method-Reference-Cited by-同舟云学术

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Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method

Published:2019 Issue: Volume: Page:
ISSN:1460-1559
Container-title:Journal of Computational Finance
language:
Short-container-title:JCF

Author:

Zhang Rongju,Langrené Nicolas,Tian Yu,Zhu Zili,Klebaner Fima,Hamza Kais

Publisher

Infopro Digital Services Limited

Subject

Applied Mathematics,Computer Science Applications,Finance

Cited by 5 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A Comprehensive Methodology for Investment Project Assessment Based on Monte Carlo Simulation;Applied Sciences;2023-05-16

2. Portfolio optimization with a prescribed terminal wealth distribution;Quantitative Finance;2021-09-16

3. Using a stochastic economic scenario generator to analyse uncertain superannuation and retirement outcomes;Annals of Actuarial Science;2020-12-10

4. Dynamic volatility management: from conditional volatility to realized volatility;Journal of Investment Strategies;2019

5. Using Stochastic Economic Scenario Generators to Analyse Uncertain Superannuation Outcomes;SSRN Electronic Journal;2019

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