haku: @author Rindisbacher, M. / yhteensä: 2
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| Tekijä: | Detemple, J.B. Garcia, R. Rindisbacher, M. |
| Otsikko: | A Monte Carlo method for optimal portfolios |
| Lehti: | Journal of Finance
2003 : FEB, VOL. 58:1, p. 401-446 |
| Asiasana: | Monte Carlo technique Optimization Portfolio management |
| Kieli: | eng |
| Tiivistelmä: | A new simulation-based approach for optimal portfolio allocation in realistic environments with complex dynamics for the state variables and large numbers of factors and assets is proposed in this paper. A first illustration involves a choice between equity and cash with nonlinear interest rate and market price of risk dynamics. Intemporal hedging demands significantly increase the demand for stocks and exhibit low volatility. |
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