Question: Monte Carlo: What data should I use on the data table? How can I get the Daily asset returns and Cemulative protfolio? How to calculate?
Monte Carlo: What data should I use on the data table?
Value at t=0 500 Asset1 0.136534057 600 Asset2 0.048586241 400 Asset3 0.040637724 Simulated return per week Simulated asset1 at t=1 Simulated asset2 at t=1 Simulated asset3 at t=1 573.1469583 629.8715413 416.5898942 Asset1 ? ? ? Asset2 ? ? ? Asset3 ? ? ? V1 ? ? ? 1 2 3 4 5 6 7 8 9 10 11 12 13 A B E H 1 VaR: SIMULATING PORTFOLIO PERFORMANCE 2 Annual means 30 days of simulated returns 3 -20% -11% -13% Daily asset returns Cumulative 4 Asset1 Asset2 Asset3 portfolio 5 Daily means 1 0.60% 0.63% -0.16% 0.34% 6 -0.08% -0.04% -0.05%
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