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.
Hedge fund return predictability depends on having a long track record to analyze. How long is long enough? You won’t like the answer.
Choosing a sampling distribution for a Monte Carlo integration to take advantage of available efficiencies.
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.