Can I read Monte Carlo approximation to optimal investment on EtoBox?

Monte Carlo approximation to optimal investment by Rogers, L C G; Zaczkowski, Pawel is a scholarly article available to read on EtoBox.

What is Monte Carlo approximation to optimal investment about?

This paper sets up a methodology for approximately solving optimal investment problems using duality methods combined with Monte Carlo simulations. In particular, we show how to tackle high dimensional problems in incomplete markets, where traditional methods fail due to the curse of dimensionality.

Author

Rogers, L C G; Zaczkowski, Pawel

Published

2013

Language

EN