We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. We explore the need for more general optimization tools, and consider the means by which constrained random portfolios may be generated. DeVroye's approach to sampling the interior of a...

Characteristic functions of several popular classes of distributions and processes admit analytic continuation into unions of strips and open coni around the line of integration in the complex plane.The Fourier transform techniques reduces calculation of probability distributions and option...