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Introducción Al Cálculo De Malliavin Para Las Finanzas Con Aplicación A La Elección Dinámica De Portafolio

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Author Info

  • Guillermo Moloche

    (Departamento de Economía - Pontificia Universidad Católica del Perú)

Abstract

Este artículo es una revisión de las ideas básicas del cálculo de Malliavin relevantes para las finanzas. El cálculo de Malliavin proporciona un conjunto de herramientas matemáticas que ha permitido resolver algunos problemas de importancia práctica en las finanzas cuantitativas y que se ha plasmado en técnicas que se usan diariamente en instituciones financieras alrededor del mundo. Revisamos algunas de estas aplicaciones y hacemos un énfasis especial en la implementación concreta de técnicas de elección óptima del portafolio para inversionistas de largo plazo.

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Bibliographic Info

Paper provided by Departamento de Economía - Pontificia Universidad Católica del Perú in its series Documentos de Trabajo with number 2012-347.

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Length: 47 pages
Date of creation: 2012
Date of revision:
Publication status: published
Handle: RePEc:pcp:pucwps:wp00347

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Phone: (511) 626-2000 ext. 4950, 4951
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Web page: http://www.pucp.edu.pe/departamento/economia/
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Related research

Keywords: Cálculo de Malliavin; teoría del portafolio; optimización intertemporal; asignación estratégica de activos; simulaciones de Monte Carlo.;

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Cited by:
  1. Alejandro Lugon Ceruti, 2012. "Endogenous Altruism In The Long Run," Documentos de Trabajo 2012-348, Departamento de Economía - Pontificia Universidad Católica del Perú.

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