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Reducing Asset Weights' Volatility by Importance Sampling in Stochastic Credit Portfolio Optimization

URN to cite this document:
urn:nbn:de:bvb:355-opus-7063
Tilke, Stephan
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Date of publication of this fulltext: 31 Aug 2006 13:47


Abstract

The objective of this paper is to study the effect of importance sampling (IS) techniques on stochastic credit portfolio optimization methods. I introduce a framework that leads to a reduction of volatility of resulting optimal portfolio asset weights. Performance of the method is documented in terms of implementation simplicity and accuracy. It is shown that the incorporated methods make ...

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