Monte Carlo approximation to optimal investment

2013/05/15 by Rogers, L C G, Zaczkowski, Pawel
#49M29 #90C39 #Computational Finance (q-fin.CP) #FOS: Economics and business

paper · doi:10.48550/arxiv.1305.3433

Abstract

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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