A Utility Approach: Strategy Analysis and Optimization
Utility theory and Monte Carlo simulations are used to calculate optimal allocation for long term as well as, risk averse investors with a portfolio consisting of one risky asset and one risk-free bank account. The problems solved in this thesis are divided into two types, static and dynamic. A strategy is given for a static problem, such as Buy and Hold (B\&H) or Constant Weights (CW) and op