Monte Carlo computation of optimal portfolios in complete markets

DOI10.1016/S0165-1889(02)00051-9zbMath1178.91176OpenAlexW1971667661MaRDI QIDQ951338

Jakša Cvitanić, Levon Goukasian, Fernando Zapatero

Publication date: 24 October 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(02)00051-9

zbMATH Keywords

Monte Carlo methodsutility maximization

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

Related Items (14)

Dynamic asset–liability management in a Markov market with stochastic cash flows ⋮ Stochastic dividend yields and derivatives pricing in complete markets ⋮ A numerical approach to solve consumption-portfolio problems with predictability in income, stock prices, and house prices ⋮ An expansion in the model space in the context of utility maximization ⋮ Near-optimal asset allocation in financial markets with trading constraints ⋮ Portfolio selection: a review ⋮ Macroeconomic environment, money demand and portfolio choice ⋮ Mixed-asset portfolio allocation under mean-reverting asset returns ⋮ State-Dependent Utility ⋮ Computation of optimal portfolios using simulation-based dimension reduction ⋮ The asset allocation puzzle is still a puzzle ⋮ Monte Carlo methods for derivatives of options with discontinuous payoffs ⋮ Standardized versus customized portfolio: a compensating variation approach ⋮ Optimal acquisition of a partially hedgeable house

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