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Author Rometsch, Mario

Title Quasi-Monte Carlo methods in finance : with application to optimal asset allocation / Mario Rometsch
Published Hamburg : Diplom.de, 2008
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Description 1 online resource (vii, 123 pages) : illustrations (some color)
Contents 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
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 Asset allocation.
Monte Carlo method -- Finance.
Form Electronic book
ISBN 3836616645 (electronic bk.)
9783836616645 (electronic bk.)