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Monte Carlo approximation to optimal investment


  • L C G Rogers
  • Pawel Zaczkowski


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.

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  • L C G Rogers & Pawel Zaczkowski, 2013. "Monte Carlo approximation to optimal investment," Papers 1305.3433,
  • Handle: RePEc:arx:papers:1305.3433

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    References listed on IDEAS

    1. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
    2. Pag├Ęs Gilles & Printems Jacques, 2003. "Optimal quadratic quantization for numerics: the Gaussian case," Monte Carlo Methods and Applications, De Gruyter, vol. 9(2), pages 135-165, April.
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    Cited by:

    1. Suhan Altay & Katia Colaneri & Zehra Eksi, 2017. "Pairs Trading under Drift Uncertainty and Risk Penalization," Papers 1704.06697,
    2. Zhaojun Yang & Chunhong Zhang, 2015. "The Pricing of Two Newly Invented Swaps in a Jump-Diffusion Model," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 371-392, November.
    3. Sara Biagini & Mustafa Pinar, 2015. "The Robust Merton Problem of an Ambiguity Averse Investor," Papers 1502.02847,
    4. Ankush Agarwal & Ronnie Sircar, 2017. "Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio," Working Papers hal-01388399, HAL.
    5. Ankush Agarwal & Ronnie Sircar, 2016. "Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio," Papers 1610.08558,
    6. Yves-Laurent Kom Samo & Alexander Vervuurt, 2016. "Stochastic Portfolio Theory: A Machine Learning Perspective," Papers 1605.02654,
    7. Teemu Pennanen & Ari-Pekka Perkkio, 2016. "Convex duality in optimal investment and contingent claim valuation in illiquid markets," Papers 1603.02867,

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