Portfolio Return Simulation

 

Portfolio return simulation system.

 

Features

The Portfolio Return Simulation System uses Monte Carlo simulation to simulate portfolio return. It has special features that can be used to:

  • Specify annual, quarterly, monthly, weekly, or daily time periods.
  • Specify any horizon date in the future.
  • Specify a joint return distribution for all kinds of assets, including stocks, bonds, bank-loans, risk-free assets, futures, swaps and options.
  • Specify a portfolio containing any combination of investment weights for the assets.
  • Specify the number of simulation trials.
  • Specify the number of points on the probability distribution of portfolio return.

 

Limits

None

 

Applications

The Portfolio Return Simulation System allows you to research a variety of investment scenarios. You can use it to:

  • Simulate the probability distribution of portfolio return for any horizon in the future, for a portfolio with just a single initial investment.
  • Simulate the probability distribution of portfolio return for any horizon in the future, for a portfolio built over time with a periodic savings plan but no initial investment.
  • Simulate the probability distribution of portfolio return for any horizon in the future, for a portfolio with a given initial investment followed by a periodic savings plan.
  • Calculate the probability of achieving a given portfolio return at the specified horizon.
  • Calculate the summary statistics for the portfolio return distribution on the horizon date, including the mean, standard deviation, skewness and kurtosis.

 

Operating Environments

The following combinations of computer platforms, libraries and languages are supported:

  • COM Server for Windows, for use with C/C++, or Visual Basic.
  • Dynamic link library (DLL) for Windows, for use with C/C++, Visual Basic, or Fortran.

 

Internet and Intranet Systems

The C/C++ subroutine library is thread-safe. You can encapsulate it with a C/C++ wrapper to build Internet and Intranet systems for Windows.

The COM Server is available for the Windows platforms. You can use it to build Internet and Intranet systems for Windows.

 

Consulting

Financiometrics Inc. offers consulting services for building in-house systems that incorporate the Portfolio Return Simulation subroutine library, or software components.

Copyright (C) 2000-2008 Financiometrics Inc.