A Monte CarloMethod for Optimal Portfolios  

Oleh:

Detemple, Jerome B ; Garcia, Rene ; RINDISBACHER, MARCEL

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 58 no. 1 (Feb. 2003), page 401-446.
Topik: A Monte Carlo Method; portofolio
Fulltext: p 401.pdf (651.17KB)

Isi artikel

This paper proposes a newsi mulation-based approach for optimal portfolio allocation in realistic environments with complex dynamics for the state variables and large numbers of factors and assets. A first illustration involves a choice between equity and cash with nonlinear interest rate and market price of risk dynamics. Intertemporal hedging demands significantly increase the demand for stocks and exhibit lowv olatility.We then analyze settings where stock returns are also predicted by dividend yields and where investors have wealth-dependent relative risk aversion. Large-scale problems with many assets, including the Nasdaq, SP500, bonds, and cash, are also exam

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