Tag Archives: monte carlo 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 →

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Monte Carlo Simulation Library in Python with Project Cost Estimation as an Example

Posted on May 11, 2020 by Pranab

I was working on a solution for change point detection in time series, which led me to certain two sample statistic, for which critical values didn’t exist. The only option was to simulate the statistic values and estimate critical values … Continue reading →

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