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Year of publication
Subject
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Anlageverhalten 1 Behavioural finance 1 Doss transformation 1 Dynamic portfolio choice 1 Explicit solutions 1 IR-hedge 1 Incomplete market 1 Incomplete markets 1 Long-term investing 1 MPR-hedge 1 Malliavin derivatives 1 Monte Carlo simulation 1 Numerical solutions 1 Optimal portfolios 1 Portefeuilles optimaux 1 Portfolio selection 1 Portfolio-Management 1 Theorie 1 Theory 1 Time aggregation 1 Unvollkommener Markt 1 comportement des portefeuilles 1 couverture de prix du risque de marché 1 couverture de taux d'intérêt 1 demandes de couverture 1 dérivées de Malliavin 1 explicit solutions 1 hedging demands 1 multiple state variables 1 portfolio behavior 1 simulation de Monte Carlo 1 solutions explicites 1 transformation de Doss 1 variables d'état multiples 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Arbeitspapier 1 Working Paper 1
Language
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English 1 French 1
Author
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Detemple, Jérôme B. 1 Garcia, René 1 Legendre, François 1 Rindisbacher, Marcel 1 Togola, Djibril 1
Institution
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1
Published in...
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CIRANO Working Papers 1 Document de travail / ERUDITE, Laboratoire d'Économie 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Explicit solution to dynamic portfolio choice problem : the continuous-time detour
Legendre, François; Togola, Djibril - 2015
Persistent link: https://www.econbiz.de/10010486899
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Cover Image
A Monte-Carlo Method for Optimal Portfolios
Detemple, Jérôme B.; Garcia, René; Rindisbacher, Marcel - Centre Interuniversitaire de Recherche en Analyse des … - 2000
This paper provides (i) new results on the structure of optimal portfolios, (ii) economic insights on the behavior of the hedging components and (iii) an analysis of simulation-based numerical methods. The core of our approach relies on closed form solutions for Melliavin derivatives of...
Persistent link: https://www.econbiz.de/10005100643
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