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A simulation approach to dynamic portfolio choice
Dear Forum,has anybody read the paper "A simulation approach to dynamic portfolio choice" by Brandt, Goyal and Santa-Clara? The link is simport.pdfI am trying to implement the algorithm, but I have not understood very well how they assign a sample path to a certain wealth level. It is briefly explained in section 3.3 of the paper, but I still struggle...Thanks a lot,costica.
Last edited by costica on August 7th, 2002, 10:00 pm, edited 1 time in total.