 Quote:
Originally Posted by samclem
You don't really know if 90% success is good or not unless you know about the underlying data being used. It would be easy (though irresponsible) to have an assumed data set that was more optimistic (i.e. fewer very bad years) than those already seen in the real world, in which case even 100% success could be produced by a really bad portfolio.
It's all about the "fattness" of the tails of the distribution.
|
That's the general complaint about MC simulations.
__________________
“I guess I should warn you, if I turn out to be particularly clear, you've probably misunderstood what I've said” Alan Greenspan
|
Threaded Mode
