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Allocation between factor portfolios can bring significant advantages over traditional portfolio optimization performed among individual assets or asset classes. One such advantage is a substantial dimension reduction when one's attention turns from many assets to few factors. This, however,...
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We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. In this first paper we explore the need for more general optimization tools, and consider the means by which constrained random portfolios may be generated. A practical scheme for the...
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applications of both discrete time theory and continuous time mathematics, and is extensive in scope. Distribution theory … be found in this book, as well as the theory of Markov Chains and appropriate applications in credit modeling. Measure …-theoretic probability, moments, characteristic functions, inequalities, and central limit theorems are examined. The theory of risk aversion …
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