Monte Carlo computation of optimal portfolios in complete markets

Journal of Economic Dynamics and Control

Volumn 27, Issue 6, 2003, Pages 971-986

  Cvitanić, Jakša ^a   Goukasian, Levon ^a   Zapatero, Fernando ^b  

^a UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

^b UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

Author keywords

Monte Carlo methods; Utility maximization

Indexed keywords

EID: 0037385567     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(02)00051-9     Document Type: Article

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