Monte Carlo approximation to optimal investment
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.
Year of publication: |
2013-05
|
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Authors: | Rogers, L C G ; Zaczkowski, Pawel |
Institutions: | arXiv.org |
Saved in:
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