Quasi-Monte Carlo methods in finance : with application to optimal asset allocation

Quasi-Monte Carlo methods in finance : with application to optimal asset allocation / Mario Rometsch.

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 usemartingale techniques to determine the optimal portfolio allocation. Using the latter approach, we follow a...

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Bibliographic Details
Main Author: Rometsch, Mario
Format: eBook
Language:English
Published: Hamburg : Diplom.de, 2008.
Subjects:
Monte Carlo method > Finance.
Asset allocation.
SCIENCE > Essays.
SCIENCE > Reference.
Asset allocation
Online Access:Click for online access
Description
Summary: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 usemartingale 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.
Item Description:Cover title.
Physical Description:1 online resource (vii, 123 pages) : illustrations (some color)
Bibliography:Includes bibliographical references.
ISBN:9783836616645
3836616645
Source of Description, Etc. Note:Print version record.

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