Computation of optimal portfolios using simulation-based dimension reduction

DOI10.1016/j.insmatheco.2008.05.004zbMath1284.91567MaRDI QIDQ2518536

Phelim P. Boyle, Ken Seng Tan, Junichi Imai

Publication date: 16 January 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.05.004

zbMATH Keywords

dimension reduction; quasi-Monte Carlo; asset allocation; optimal portfolio selection

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G10: Portfolio theory

Related Items

A benchmarking approach to optimal asset allocation for insurers and pension funds

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