"quantity"exercise:Monte Carlo simulation

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Questions 1:

An investor wants to maximize the possibility of earning at least 5% on her investments each year.

quantity exercise:Monte Carlo simulation

Using Roy’s safety-first criterion, the most appropriate choice for the investor is portfolio:

A 、3.

B、 2.

C、 1.

Questions 2:

Compared with historical simulation, Monte Carlo simulation is most appropriate when:

A 、probability distributions are unavailable.

B 、“what if” analysis is required.

C 、analytical methods are required.

View answer resolution

【Answer to question 1】B

【analysis】

quantity exercise:Monte Carlo simulation

Portfolio 2 has the highest SFRatio, so it is the most appropriate choice.

C is incorrect because 0.35 is less than 0.64.

A is incorrect because 0.425 is less than 0.64.

【Answer to question 2】B

【analysis】

B is correct. Monte Carlo simulation lends itself to “what if” analysis and requires the user to provide a probability distribution or distributions. It can be a complement to analytical methods.

A is incorrect. Monte Carlo simulation requires probability distribution

C is incorrect. Monte Carlo simulation can be a complement to analytical methods. Analytical methods provide precise results, whereas Monte Carlo simulation does not.

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