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

Author

Listed:
  • 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.

Suggested Citation

  • Guillermo Moloche, 2012. "Introducción Al Cálculo De Malliavin Para Las Finanzas Con Aplicación A La Elección Dinámica De Portafolio," Documentos de Trabajo / Working Papers 2012-347, Departamento de Economía - Pontificia Universidad Católica del Perú.
  • Handle: RePEc:pcp:pucwps:wp00347
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    File URL: http://files.pucp.edu.pe/departamento/economia/DDD347.pdf
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    Cited by:

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

    More about this item

    Keywords

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

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • D91 - Microeconomics - - Micro-Based Behavioral Economics - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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