A Monte-Carlo Method for Optimal Portfolios
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- Jérôme B. Detemple & Ren Garcia & Marcel Rindisbacher, 2003. "A Monte Carlo Method for Optimal Portfolios," Journal of Finance, American Finance Association, vol. 58(1), pages 401-446, February.
References listed on IDEAS
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More about this item
Keywords
Optimal 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;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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