Tag Archives: Monte Carlo in finance

Sharpe ratios, replacing managers and random portfolios

Two articles in the August issue of Journal of Asset Management discuss topics that relate to random portfolios. Sharpe ratios The first article is “The Sharpe ratio’s market climate bias: Theoretical and empirical evidence from US equity mutual funds” by Sebastian Krimm, Hendrik Scholz and Marco Wilkens (abstract).  SSRN claims a version of the paper is downloadable, but … Continue reading

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Random portfolios versus Monte Carlo

What is the difference between Monte Carlo — as it is usually defined in finance — and random portfolios? The meaning of “Monte Carlo” The idea of “Monte Carlo” is very simple.  It is a fancy word for “simulation”. As usual, it is all too possible to find incredibly muddied explanations of such a simple … Continue reading

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