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  • 1
    UID:
    b3kat_BV037296226
    Format: 1 Online-Ressource
    Edition: 1. Auflage
    ISBN: 9783836616645
    Note: Diplomarbeit Universität Ulm 2007
    Language: German
    Subjects: Economics
    RVK:
    Keywords: Monte-Carlo-Simulation ; Finanzmathematik ; Hochschulschrift
    Author information: Rometsch, Mario 1981-
    Library Location Call Number Volume/Issue/Year Availability
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  • 2
    Online Resource
    Online Resource
    Hamburg : Diplomica Verlag GmbH
    UID:
    b3kat_BV048314020
    Format: 1 Online-Ressource (126 Seiten)
    Edition: 1. Auflage
    ISBN: 9783836616645
    Content: Portfolio optimization is a widely studied problem in finance dating back to the work of Merton from the 1960s. While many approaches rely on dynamic programming, some recent contributions use martingale techniques to determine the optimal portfolio allocation. Using the latter approach, we follow a journal article from 2003 and show how optimal portfolio weights can be represented in terms of conditional expectations of the state variables and their Malliavin derivatives. In contrast to other approaches, where Monte Carlo methods are used to compute the weights, here the simulation is carried out using Quasi-Monte Carlo methods in order to improve the efficiency. Despite some previous work on Quasi-Monte Carlo simulation of stochastic differential equations, we find them to dominate plain Monte Carlo methods. However, the theoretical optimal order of convergence is not achieved. With the help of some recent results concerning Monte-Carlo error estimation and backed by some computer experiments on a simple model with explicit solution, we provide a first guess, what could be a way around this difficulties. The book is organized as follows. In the first chapter we provide some general introduction to Quasi-Monte Carlo methods and show at hand of a simple example how these methods can be used to accelerate the plain Monte Carlo sampling approach. In the second part we provide a thourough introduction to Malliavin Calculus and derive some important calculation rules that will be necessary in the third chapter. Right there we will focus on portfolio optimization and and follow a recent journal article of Detemple, Garcia and Rindisbacher from there rather general market model to the optimal portfolio formula. Finally, in the last part we will implement this optimal portfolio by means of a simple model with explicit solution where we find that also their the Quasi-Monte Carlo approach dominates the Monte Carlo method in terms of efficiency and accuracy
    Note: Diplomarbeit Universität Ulm 2007
    Additional Edition: Erscheint auch als Druck-Ausgabe ISBN 978-3-8366-6664-0
    Language: German
    Subjects: Economics
    RVK:
    Keywords: Hochschulschrift
    Library Location Call Number Volume/Issue/Year Availability
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  • 3
    UID:
    almafu_9958058200902883
    Format: 1 online resource (138 p.)
    Edition: 1st ed.
    ISBN: 3-8366-1664-5
    Content: Portfolio optimization is a widely studied problem in finance dating back to the work of Merton from the 1960's. While many approaches rely on dynamic programming, some recent contributions use martingale techniques to determine the optimal portfolio allocation.Using the latter approach, we follow a journal article from 2003 and show how optimal portfolio weights can be represented in terms of conditional expectations of the state variables and their Malliavin derivatives. In contrast to other approaches, where Monte Carlo methods are used to compute the weights, here the simulation...
    Note: Title from cover. , Quasi-Monte Carlo Methods in Finance With Application to Optimal Asset Allocation; Abstract; Acknowledgment; Contents; List of Figures; Introduction; 1 Monte Carlo and quasi-Monte Carlo methods; 2 Malliavin Calculus; 3 Asset Allocation; 4 Implementation; Conclusion; Summary; Bibliography , English
    Additional Edition: ISBN 3-8366-6664-2
    Language: English
    Library Location Call Number Volume/Issue/Year Availability
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  • 4
    UID:
    almahu_9948314659402882
    Format: vii, 123 p. : , ill. (some col.)
    Edition: Electronic reproduction. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries.
    Note: Title from cover.
    Language: English
    Keywords: Electronic books.
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  • 5
    UID:
    b3kat_BV035245832
    Format: VII, 123 S. , graph. Darst. , 270 mm x 190 mm
    ISBN: 9783836666640
    Series Statement: Diplomica
    Note: Diplomarbeit Universität Ulm 2007
    Language: English
    Subjects: Economics
    RVK:
    Keywords: Monte-Carlo-Simulation ; Finanzmathematik ; Hochschulschrift
    Author information: Rometsch, Mario 1981-
    Library Location Call Number Volume/Issue/Year Availability
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  • 6
    UID:
    edoccha_9958058200902883
    Format: 1 online resource (138 p.)
    Edition: 1st ed.
    ISBN: 3-8366-1664-5
    Content: Portfolio optimization is a widely studied problem in finance dating back to the work of Merton from the 1960's. While many approaches rely on dynamic programming, some recent contributions use martingale techniques to determine the optimal portfolio allocation.Using the latter approach, we follow a journal article from 2003 and show how optimal portfolio weights can be represented in terms of conditional expectations of the state variables and their Malliavin derivatives. In contrast to other approaches, where Monte Carlo methods are used to compute the weights, here the simulation...
    Note: Title from cover. , Quasi-Monte Carlo Methods in Finance With Application to Optimal Asset Allocation; Abstract; Acknowledgment; Contents; List of Figures; Introduction; 1 Monte Carlo and quasi-Monte Carlo methods; 2 Malliavin Calculus; 3 Asset Allocation; 4 Implementation; Conclusion; Summary; Bibliography , English
    Additional Edition: ISBN 3-8366-6664-2
    Language: English
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
  • 7
    UID:
    edocfu_9958058200902883
    Format: 1 online resource (138 p.)
    Edition: 1st ed.
    ISBN: 3-8366-1664-5
    Content: Portfolio optimization is a widely studied problem in finance dating back to the work of Merton from the 1960's. While many approaches rely on dynamic programming, some recent contributions use martingale techniques to determine the optimal portfolio allocation.Using the latter approach, we follow a journal article from 2003 and show how optimal portfolio weights can be represented in terms of conditional expectations of the state variables and their Malliavin derivatives. In contrast to other approaches, where Monte Carlo methods are used to compute the weights, here the simulation...
    Note: Title from cover. , Quasi-Monte Carlo Methods in Finance With Application to Optimal Asset Allocation; Abstract; Acknowledgment; Contents; List of Figures; Introduction; 1 Monte Carlo and quasi-Monte Carlo methods; 2 Malliavin Calculus; 3 Asset Allocation; 4 Implementation; Conclusion; Summary; Bibliography , English
    Additional Edition: ISBN 3-8366-6664-2
    Language: English
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
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