* Jérôme B. Detemple is at Boston University, School of Management and CIRANO; René Garcia is at Université de Montréal, Department of Economics and CIRANO; and Marcel Rindisbacher is at University of Toronto, Rotman School of Management and CIRANO. The paper was presented at Boston University, Boston College, CIRANO, McMaster University, MIT, NYU (Stern), NYU (Courant), University of Rochester, University of Waterloo, PUC (Rio de Janeiro), York University, The Fields Institute, MITACS general meeting (Toronto), Optimization Days 1999 (Montréal), EFA 1999 (Helsinki), NFA 1999 (Calgary), AFA 2000 (Boston), CMS 2000 (Vancouver), and the 2001 Financial Mathematics conference at UCLA (IPAM). We thank an anonymous referee and the editor, Rick Green, for very useful comments. The paper has also benefited from the suggestions of Helyette Geman, Jacob Sagi, Jun Liu, Larry Epstein, Steve Figlewski, Alex Shapiro, Anthony Lynch, Stan Pliska, Toby Daglish, Martin Gonzales Eiras, David Menagarishvili, and Mark Loewenstein. Financial support from the Network of Centers of Excellence (MITACS) is gratefully acknowledged.
A Monte Carlo Method for Optimal Portfolios
Version of Record online: 12 FEB 2003
© 2003 the American Finance Association
The Journal of Finance
Volume 58, Issue 1, pages 401–446, February 2003
How to Cite
Detemple, J. B., Garcia, R. and Rindisbacher, M. (2003), A Monte Carlo Method for Optimal Portfolios. The Journal of Finance, 58: 401–446. doi: 10.1111/1540-6261.00529
- Issue online: 12 FEB 2003
- Version of Record online: 12 FEB 2003
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