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"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.
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】
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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