Computation of optimal portfolios using simulation-based dimension reduction

DOI10.1016/J.INSMATHECO.2008.05.004MaRDI QIDQ2518536zbMATH OpenOpenAlexFDO

Authors Phelim Boyle, Junichi Imai, Ken Seng Tan

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 reductionasset allocationquasi-Monte Carlooptimal portfolio selection

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

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Cited in

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• A benchmarking approach to optimal asset allocation for insurers and pension funds
• Dimension reduction in discrete time portfolio optimization with partial information

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