by IanRayner | May 27, 2019 |
Comparing a hedge fund manager to a random version of him or herself is a great alternative to index benchmarking. I introduce my random portfolio generator, show you how it works, and provide the code.
by IanRayner | Jun 13, 2018 |
Hedge fund return predictability depends on having a long track record to analyze. How long is long enough? You won’t like the answer.
by IanRayner | Dec 5, 2011 | This will be the final Monte Carlo related post for a while. Good job, really, I can’t keep coming up with titles! I am hoping this one will pull together some of the the themes nicely and show a really cool way of implementing MC integrations using a procedure...
by IanRayner | Nov 27, 2011 |
Choosing a sampling distribution for a Monte Carlo integration to take advantage of available efficiencies.
by IanRayner | Nov 23, 2011 |
When completing a Monte Carlo integration it makes a difference how much of the search space is occupied by the area under the curve to be integrated. The more the curve fills the space the fewer iterations are needed to complete the integration to a given accuracy.