# Tag Info

## New answers tagged portfolio-management

0

For an Excel and VBA implementation with open source code see here

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A very simple approach could be the following: draw a random number for each day for each stock. If you refer to "average/mean" by return and to "standard deviation/variance" by volatility, you could use these for the distribution parameters of the random numbers per stock. If you dislike that values can go below zero, apply Euler's exponential function on ...

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To each closure on this: I attribute the difference to Idzorek to rounding errors. And on a side node, Idzorek sets the sample variance equal to the prior variance, an issue that kept myself busy until I found that detail confirmed by Walters paper.

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The approach of reflecting is expensive, since the $d$-simplex has $d$ maximal faces, all of which have to be checked for intersection at each step. Additionally, if the random walk moves into a corner, the number of moves which have to be discarded can become very high. Depending on the configuration of the constraints this could well be your best solution. ...

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