A Monte Carlo Method for Optimal Portfolios

Monte Carlo scenario generation for retail loan portfolios

Monte Carlo simulation is a common method for studying the volatility of market traded instruments. It is less employed in retail lending, because of the inherent nonlinearities in consumer behavior. In this paper, we leverage the approach of Dual-time Dynamics to separate loan performance dynamics into three components: a maturation function of months-on-books, an exogenous function of calenda...

Optimal Monte Carlo updating.

Based on Peskun's theorem it is shown that optimal transition matrices in Markov chain Monte Carlo should have zero diagonal elements except for the diagonal element corresponding to the largest weight. We will compare the statistical efficiency of this sampler to existing algorithms, such as heat-bath updating and the Metropolis algorithm. We provide numerical results for the Potts model as an...

Slice Samoling as a Markov Chain Monte Carlo Method

This article has no abstract.

Optimal implementation of the Shadow Hybrid Monte Carlo method

Abstract. keywords: Sampling methods; Hybrid Monte Carlo; Symplectic integrator; Shadow Hamiltonian; Conformational sampling.

The Monte-Carlo Method