Home |
Search |
Today's Posts |
#1
Posted to microsoft.public.excel.programming
|
|||
|
|||
Monte Carlo Simulation on Long / Short Equity
Hi,
Does any body have any idea or examples that you can show me on wrting a program in Excel that does the Monte Carlo Simulation for Long / Short Equity? I would have all the stocks in the Russell 3000 and the beta of each stock. I would also have the price for each stock at the beginning and at the end of the month. I am constraining my maximum long to be 50 positions, equally weighted. The Shorts can be flexible, but let's say I want 50 shorts that make the beta neutral on a portfolio level. I guess I should use a random generator function that labels 50 stocks long and 50 stocks short and see how the returns at the end of the month turn out. But I really have no clue where to start. Do I need any other variables or specify distributions? Can someone show me some examples or code? Thanks so much in advance. |
#2
Posted to microsoft.public.excel.programming
|
|||
|
|||
Monte Carlo Simulation on Long / Short Equity
This problem can be very complex. Monte Carlo predictions is based on a
model. You have to build that model using the VBA. You have to set up some rules before you start. You have to determine how long you plan to keep each stock. Is this length of time going to be random Distribution, Normal distribution, or is the buying and selling going to be based other criteria. What you really need to do is run some experiments. I would build a model and test it over theh last 5 years to see how well the model behaves compare to actual results. Then when you perfect the model use it as a prediction for future investments. " wrote: Hi, Does any body have any idea or examples that you can show me on wrting a program in Excel that does the Monte Carlo Simulation for Long / Short Equity? I would have all the stocks in the Russell 3000 and the beta of each stock. I would also have the price for each stock at the beginning and at the end of the month. I am constraining my maximum long to be 50 positions, equally weighted. The Shorts can be flexible, but let's say I want 50 shorts that make the beta neutral on a portfolio level. I guess I should use a random generator function that labels 50 stocks long and 50 stocks short and see how the returns at the end of the month turn out. But I really have no clue where to start. Do I need any other variables or specify distributions? Can someone show me some examples or code? Thanks so much in advance. |
#3
Posted to microsoft.public.excel.programming
|
|||
|
|||
Monte Carlo Simulation on Long / Short Equity
I been thinking about your program and have some additional comments. You
have a good sttart of defining a model for your problem. Wat you descibe below is not a Monte carlo simulation, but really a general purpose simulation. Monte Carlo simulation usually refers to randomly changing multiple parameterrs simultaneously. To perform Monte Carlo Simulation you would randomly select 40-60 short term and long term stocks rather than to use a fix number. Also you could have a variable number of months when you update your Portfolio. this would make you model truely Monte Carlo. First start simple. 1) Write a program that selects stocks to track. 2) Track the stocks for a fixed period of time and calculate the value of the portfolio after each time period. It looks like you arre going to do this monthly. 3) Generate Rules for buying and selling stocks into the program. Include cost of buying and selling. Make the time for updating variable so you can run differentt simulation models. " wrote: Hi, Does any body have any idea or examples that you can show me on wrting a program in Excel that does the Monte Carlo Simulation for Long / Short Equity? I would have all the stocks in the Russell 3000 and the beta of each stock. I would also have the price for each stock at the beginning and at the end of the month. I am constraining my maximum long to be 50 positions, equally weighted. The Shorts can be flexible, but let's say I want 50 shorts that make the beta neutral on a portfolio level. I guess I should use a random generator function that labels 50 stocks long and 50 stocks short and see how the returns at the end of the month turn out. But I really have no clue where to start. Do I need any other variables or specify distributions? Can someone show me some examples or code? Thanks so much in advance. |
Reply |
Thread Tools | Search this Thread |
Display Modes | |
|
|
Similar Threads | ||||
Thread | Forum | |||
How to use Monte Carlo Simulation in Excel? | Excel Discussion (Misc queries) | |||
HOw to use Monte cARLO sIMULATION IN eXCEL? | Excel Discussion (Misc queries) | |||
Monte Carlo Simulation Add-In | Excel Discussion (Misc queries) | |||
monte carlo simulation | Excel Worksheet Functions | |||
Monte Carlo Simulation | Excel Discussion (Misc queries) |