All Questions
Tagged with normal-distribution simulations
5 questions
2
votes
3
answers
709
views
Simulating covariance matrices with nonzero correlation
How would you simulate a covariance matrix of 1,000 stocks where each pair has nonzero correlation?
I have literally no idea how to start with this.
Any suggestions?
- 2,662
1
vote
2
answers
397
views
Distribution of data for GBM
I am running some Monte Carlo simulations with GBM on time series of commodity prices. First of all, the price data is annual between 1900-1950. I would firstly like to know if it is bad practice to ...
- 51
0
votes
2
answers
504
views
Log normal price simulation
I'm trying to figure out a spreadsheet I have which simulates 50000 returns in excel using the following function:
LOGNORM.INV(RAND(),0,0.35)-1
Question:
How ...
- 83
1
vote
1
answer
201
views
Should earnings be modelled normally or lognormally?
I am having difficulty deciding whether a company's earnings should be modelled normally or lognormally.
If we consider two arguments:
(i) The earnings of a company are the returns on the assets of ...
- 135
9
votes
1
answer
1k
views
Monte carlo portfolio risk simulation
My objective is to show the distribution of a portfolio's expected utilities via random sampling.
The utility function has two random components. The first component is an expected return vector ...
- 13.5k