Quasi-Monte Carlo methods in finance : with application to optimal asset allocation / Mario Rometsch.

Format:

Book

Author/Creator:

Rometsch, Mario.

Language:

English

Subjects (All):

Monte Carlo method--Finance.

Monte Carlo method.

Asset allocation.

Physical Description:

1 online resource (138 p.)

Edition:

1st ed.

Place of Publication:

Hamburg : Diplom.de, 2008.

Language Note:

English

Summary:

Portfolio optimization is a widely studied problem in finance dating back to the work of Merton from the 1960's. While many approaches rely on dynamic programming, some recent contributions use martingale 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...

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 Carlo methods; 2 Malliavin Calculus; 3 Asset Allocation; 4 Implementation; Conclusion; Summary; Bibliography

Notes:

Title from cover.

Includes bibliographical references.

ISBN:

9783836616645

3836616645

OCLC:

679418983