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A Monte Carlo Method for Optimal Portfolios

✍ Scribed by Jérôme B. Detemple; René Garcia; Marcel Rindisbacher


Book ID
110693173
Publisher
John Wiley and Sons
Year
2003
Tongue
English
Weight
651 KB
Volume
58
Category
Article
ISSN
0022-1082

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Monte Carlo computation of optimal portf
✍ Jakša Cvitanić; Levon Goukasian; Fernando Zapatero 📂 Article 📅 2003 🏛 Elsevier Science 🌐 English ⚖ 165 KB

We introduce a method that relies exclusively on Monte Carlo simulation in order to compute numerically optimal portfolio values for utility maximization problems. Our method is quite general and only requires complete markets and knowledge of the dynamics of the security processes. It can be applie