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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 |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Hamburg :
Diplom.de,
2008.
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| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Rometsch, Mario. | |
| 245 | 1 | 0 | |a Quasi-Monte Carlo methods in finance : |b with application to optimal asset allocation / |c Mario Rometsch. |
| 260 | |a Hamburg : |b Diplom.de, |c 2008. | ||
| 300 | |a 1 online resource (vii, 123 pages) : |b illustrations (some color) | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 500 | |a Cover title. | ||
| 504 | |a Includes bibliographical references. | ||
| 588 | 0 | |a Print version record. | |
| 505 | 0 | |a 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 Carlomethods; 2 Malliavin Calculus; 3 Asset Allocation; 4 Implementation; Conclusion; Summary; Bibliography. | |
| 520 | |a 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. | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Monte Carlo method |x Finance. | |
| 650 | 0 | |a Asset allocation. | |
| 650 | 6 | |a Méthode de Monte-Carlo |x Finances. | |
| 650 | 6 | |a Affectation de l'actif. | |
| 650 | 7 | |a SCIENCE |x Essays. |2 bisacsh | |
| 650 | 7 | |a SCIENCE |x Reference. |2 bisacsh | |
| 650 | 7 | |a Asset allocation |2 fast | |
| 776 | 0 | 8 | |i Print version: |a Rometsch, Mario. |t Quasi-Monte Carlo Methods in Finance : With Application to Optimal Asset Allocation. |d : Diplomica Verlag, ©2008 |z 9783836666640 |
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