Category Archives: Simulation

Stock Portfolio Balancing with Monte Carlo Simulation

Posted on August 23, 2022 by Pranab

Portfolio balancing is a complex optimization problem. The problem can be stated as assignment of weights to different stocks in the portfolio so that a metric called Sharpe Ratio is maximized. In this post we will see how Monte Carlo … Continue reading →

Posted in Data Science, Python, Simulation, Statistics | Tagged , , | 1 Comment

Inventory Forecasting with Markov Chain Monte Carlo

Posted on June 14, 2016 by Pranab

Sometimes you want to calculate statistics about some variable which has complex, possibly non linear relationship with another variable for which probability distribution is available, which may be non standard or non parametric. That’s the situation we face when trying predict … Continue reading →

Posted in Data Science, Machine Learning, Optimization, Python, Simulation | Tagged , , , | 1 Comment