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Quasi-Monte Carlo methods in finance : with application to optimal asset allocation /
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...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Hamburg :
Diplom.de,
2008.
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| Temas: | |
| Acceso en línea: | Texto completo |