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3 votes

Is there Multilevel Monte Carlo in QuantLib?

There's no multilevel MC in the library. I guess it could be implemented as a class similar to McSimulation (see this link) which puts together a number of ...
Luigi Ballabio's user avatar
1 vote

My Montecarlo Simulation is not working?

Even with 2000 simulations, you may not get the expected return and volatility as your estimated parameters. Try running your monte carlo with more simulation paths and this should close the ...
AlRacoon's user avatar
  • 6,212
2 votes

My Montecarlo Simulation is not working?

Your sigma seems to be incorrect, the sigma used should be annualized. Therefore, if you use your mean of standard deviation, you need to multiply it with $\sqrt{252}$. I do not think there is ...
KaiSqDist's user avatar
  • 785
2 votes

Monte Carlo based mean variance optimization

It seems the MC method is only used to namedrop theory in this case. Yes, you can simulate 10,000 sets of weights to form a cloud of ER to risk plots, but since you're going to solve it with ...
Alon Benach's user avatar

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