yes, was using the MC function through Matlab to estimate the efficient frontier.
What inputs do you use for the MC and where do you source them from?
Inputs: Expected return vector, Variance-Covariance matrix ( or correlation matrix and expected standard deviation vector). Expected return were historical averages as for VAR/COV matrix. That is the easiest way but not the best at all to get inputs. Then you perform lot of simulations (generate random number, use this number to get a value from the PDF) and get lot of efficient frontiers that you average to get your final efficient frontier. This is the basic way to use MC with PF optimization. From there, lot of improvements are needed to get interesting results.
residual earnings model. dupont ROE. if wanting to escape US tax, don’t move to a country that just has the deduction method to resolve source-residency conflict. black-litterman was new to me as was the insurance concept of disintermediation.
DoubleDip Wrote: ------------------------------------------------------- > residual earnings model. dupont ROE. if wanting > to escape US tax, don’t move to a country that > just has the deduction method to resolve > source-residency conflict. black-litterman was > new to me as was the insurance concept of > disintermediation. despite having gone through all CFA levels, I still can’t analyze markets nor securities. Switching career isn’t easy either. I am starting to wonder if I made the right choice doing CFA program.
oldboy321 Wrote: ------------------------------------------------------- > DoubleDip Wrote: > -------------------------------------------------- > ----- > > residual earnings model. dupont ROE. if > wanting > > to escape US tax, don’t move to a country that > > just has the deduction method to resolve > > source-residency conflict. black-litterman was > > new to me as was the insurance concept of > > disintermediation. > > despite having gone through all CFA levels, I > still can’t analyze markets nor securities. > Switching career isn’t easy either. I am starting > to wonder if I made the right choice doing CFA > program. What is your current job ?
doubledip, CFAI gives you more the tools and some formal stuff but not the process. having worked for an opportunistic investor I can say: just look on pretty much EVERYTHING and ask yourself:“Why should this company be worth more in the future and what might hinder it to be so?” If you find several reason worth should triple and no obstacles: go ahead and buy, if you find some reasons and lots of obstacles stay away. In effect, investing is far more art than science.
malawyer100 Wrote: ------------------------------------------------------- > doubledip, CFAI gives you more the tools and some > formal stuff but not the process. > > having worked for an opportunistic investor I can > say: just look on pretty much EVERYTHING and ask > yourself:“Why should this company be worth more in > the future and what might hinder it to be so?” > > If you find several reason worth should triple and > no obstacles: go ahead and buy, if you find some > reasons and lots of obstacles stay away. > > In effect, investing is far more art than science. I think most important thing to remember is that a buy for a given investor could be a sell for an another. This underlines the fact that there are a lot of RRLLTTU and better investments for a given RRLLTTU. An analyst could have given a SELL rating on a company that may provide you some interests so you may BUY (given your current portfolio and what you are really looking for).
chad17 Wrote: ------------------------------------------------------- > Has anyone ever worked with a “monte carlo > simulator”? Use it just about every day for doing retirement, estate planning, etc. You can’t get a “do over” in retirement so we look at 90% confidence of not running out of funds.
drove by the multiplex last night, there’s a movie all about the monte carlo method.
SAMURAI. Fridge Wrote: ------------------------------------------------------- > That’s incredible to see how some of the subjects > addressed in the curriculum left its mark on us. > > One of the best example is the “overconfidence > bias” which is quoted so many times in here that i > can imagine you won’t forget it ! > > Do you see other part of the curriculum that you > won’t never forget and use as a reference when > taking about your past experience as a CFA > candidate ?
The resampled efficient frontier looks promising. But the text say it is patented. What a waste. Fridge Wrote: ------------------------------------------------------- > yes, was using the MC function through Matlab to > estimate the efficient frontier.
we used a lot MC during my MSc in Finance… one guy taught us how to price virtually any derivative with MC in Matlab.
diehard Wrote: ------------------------------------------------------- > we used a lot MC during my MSc in Finance… one > guy taught us how to price virtually any > derivative with MC in Matlab. AIG priced derivatives (CDS) using more complicated engineering software than matlab. MC is only so useful…
In fact, all u need for MC is a powerful random number generator and operator powerfull enough to process big matrices
I’ll never forget how many broads I could’ve nailed rather than studying.
CFABLACKBELT Wrote: ------------------------------------------------------- > I’ll never forget how many broads I could’ve > nailed rather than studying. cheer up CFABLACKBELT at least u saved the 60 bucks in hooker fees
pimpineasy Wrote: ------------------------------------------------------- > CFABLACKBELT Wrote: > -------------------------------------------------- > ----- > > I’ll never forget how many broads I could’ve > > nailed rather than studying. > > > cheer up CFABLACKBELT at least u saved the 60 > bucks in hooker fees haha
Getting absolutely creamed the first time I sat for Level 1. I promised myself never to be unprepared again.