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. |
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) |