Timeline for What's the point of resampling?
Current License: CC BY-SA 4.0
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| Apr 24, 2022 at 22:19 | comment | added | Ralph Winters | You can realize expected returns and variance in various ways. Sequence of returns are very important. Hypothetical return sequence (in percent) of -10,-10,-10,-10,-10,10 has the same mean and variance as 10,-10,-10,-10,-10. However they will have different outcomes. Monte Carlo simulation will account for that in terms of averaging. | |
| Apr 24, 2022 at 20:43 | comment | added | Claudio Moneo | I don't really understand. Perhaps more rigorously: Classic mean variance maximizes some utility function. What do we maximize by averaging allocations each corresponding to one sample? | |
| Apr 24, 2022 at 18:09 | history | answered | Ralph Winters | CC BY-SA 4.0 |