Monte Carlo approximation to optimal investment

L C G Rogers and Pawel Zaczkowski

Papers from arXiv.org

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.

Date: 2013-05
New Economics Papers: this item is included in nep-cmp
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1305.3433

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