The course was given in Université Paris-Dauphine as part of the M.Sc. This page acts as a syllabus for a course on couplings and their use in Monte Carlo, both in theory and in methods.We concentrate on the “exterior” approach where a random sample is generated outside of an optimization procedure, and then the constructed, so-called sample average approximation (SAA), problem is solved by an appropriate deterministic algorithm. In this chapter we discuss Monte Carlo sampling methods for solving large scale stochastic programming problems.A key feature of the Hoadley Portfolio Monte Carlo Simulator is the generation of two scenarios for every simulation run: Scenario 1: Rebalancing is based on the assumption that portfolios are periodically rebalanced back to the initial strategic or optimal asset allocation.
0 Comments
Leave a Reply. |
AuthorWrite something about yourself. No need to be fancy, just an overview. ArchivesCategories |