New answers tagged portfolio-management
For an Excel and VBA implementation with open source code see here
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 ...
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.
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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