UID:
almafu_9958058200902883
Umfang:
1 online resource (138 p.)
Ausgabe:
1st ed.
ISBN:
3-8366-1664-5
Inhalt:
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...
Anmerkung:
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
Weitere Ausg.:
ISBN 3-8366-6664-2
Sprache:
Englisch
