Computation of optimal portfolios using simulation-based dimension reduction
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Legendre, François & Togola, Djibril, 2016.
"Explicit solutions to dynamic portfolio choice problems: A continuous-time detour,"
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- François Legendre & Djibril Togola, 2015. "Explicit solutions to dynamic portfolio choice problems: A continuous-time detour," Working Papers hal-01117787, HAL.
- François Legendre & Djibril Togola, 2016. "Explicit solutions to dynamic portfolio choice problems: A continuous-time detour," Post-Print hal-01342195, HAL.
- Lim, Andrew E.B. & Wong, Bernard, 2010. "A benchmarking approach to optimal asset allocation for insurers and pension funds," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 317-327, April.
More about this item
KeywordsOptimal portfolio selection Asset allocation Dimension reduction Quasi-Monte Carlo;
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