A Monte-Carlo Method for Optimal Portfolios
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More about this item
KeywordsOptimal portfolios; hedging demands; Malliavin derivatives; explicit solutions; multiple state variables; IR-hedge; MPR-hedge; Monte Carlo simulation; Doss transformation; portfolio behavior; Portefeuilles optimaux; demandes de couverture; dérivées de Malliavin; solutions explicites; variables d'état multiples; couverture de taux d'intérêt; couverture de prix du risque de marché; simulation de Monte Carlo; transformation de Doss; comportement des portefeuilles;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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