We introduce a method that relies exclusively on Monte Carlo simulation in order to compute
numerically optimal portfolio values for utility maximization problems. Our method is quite
general and only requires complete markets and knowledge of the dynamics of the security
processes. It can be applied regardless of the number of factors and of whether the agent
derives utility from intertemporal consumption, terminal wealth or both. We also perform
some comparative statics analysis. Our comparative statics show that risk aversion has by …