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Fundamental indexation via smoothed cap weights

Chen, Chen; Chen, Rong; Bassett, Gilbert W. - In: Journal of banking & finance 31 (2007) 11, pp. 3486-3502

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Solving non-linear portfolio optimization problems with interval analysis

Xu, Xiaoning; He, Feng; Rong, Chen; Zhang, Qingzhi - In: Journal of the Operational Research Society : OR 66 (2015) 6, pp. 885-893

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Modeling maxima with autoregressive conditional Fréchet model

Zhao, Zifeng; Zhang, Zhengjun; Chen, Rong - In: Journal of econometrics 207 (2018) 2, pp. 325-351

Persistent link: https://www.econbiz.de/10012116357

Evaluating hedging errors : an asymptotic approach

Hayashi, Takaki; Mykland, Per A. - In: Mathematical finance : an international journal of … 15 (2005) 2, pp. 309-343

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Realized regression with asynchronous and noisy high frequency and high dimensional data

Chen, Dachuan; Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 239 (2024) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10015074483

Improved Iterative Methods for Solving Risk Parity Portfolio

Choi, Jaehyuk; Chen, Rong - 2022

Risk parity, also known as equal risk contribution, has recently gained increasing attention as a portfolio allocation method. However, solving portfolio weights must resort to numerical methods as the analytic solution is not available. This study improves two existing iterative methods: the...

Persistent link: https://www.econbiz.de/10013294221

Improved iterative methods for solving risk parity portfolio

Choi, Jaehyuk; Chen, Rong - In: Journal of derivatives and quantitative studies : … 30 (2022) 2, pp. 114-124

Persistent link: https://www.econbiz.de/10013202393