Description 
1 online resource (vii, 123 pages) : illustrations (some color) 
Contents 
QuasiMonte Carlo Methods in Finance With Application to Optimal Asset Allocation; Abstract; Acknowledgment; Contents; List of Figures; Introduction; 1 Monte Carlo and quasiMonte Carlomethods; 2 Malliavin Calculus; 3 Asset Allocation; 4 Implementation; Conclusion; Summary; Bibliography 
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 
Notes 
Cover title 
Bibliography 
Includes bibliographical references 
Notes 
Print version record 
Subject 
Monte Carlo method  Finance


Asset allocation.


SCIENCE  Essays.


SCIENCE  Reference.


Asset allocation.

Form 
Electronic book

ISBN 
9783836616645 

3836616645 
