Malliavin Calculus Approach to the Optimal Portfolio Choice in the Model with Vasicek (1977) Interest Rate

Anna Gutkowska ()
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Anna Gutkowska: Warsaw School of Economics, Poland

Chapter 13 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2009, vol. 7, pp 185-201 from University of Lodz

Abstract: In the last chapter Gutkowska, in a quite general model of financial market, shows how to derive optimal portfolios for investors with different utility functions using Malliavin calculus. With Monte Carlo simulation the features of CRRA and HARA utility functions of the proportion of interest rate hedging components are described.

Keywords: Optimal portfolio choice; Malliavin calculus; Monte Carlo simulation (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2009
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