Browsing Statistics and Actuarial Science by Subject "Effective Portfolio Dimension"
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Effective Dimensionality Control in Quantitative Finance and Insurance
(University of Waterloo, 2017-09-06)It is well-known that dimension reduction techniques such as the Brownian bridge, principal component analysis, linear transformation could increase the efficiency of Quasi-Monte Carlo (QMC) methods. Caflisch et al. (1997), ...