Recent content by jimenef

The actual use will be for the user to put historical changes in percentage... to get a distribution... and from that distribution (after having done cholesky) generate the random scenarios of the montecarlo)... i have seen that usually people use normal variables for montecarlo but i have to...

Anyone any ideas???

Does anybody know how to (without using add-ins or other softwares) assign the best statistical distribution to a set of data that is given to you (ex rentabilities)?... My idea was generating auxiliary columns with the distribution: example: a uniform with the parameters correponding to the...

needopt you were right, excel sucks for doing this... i am trying to use the anderson test to see which distribution adjusts bests and all im getting is info on other programs that do it in two seconds jaja well i guess its part of the learning progress... tobias i checked out R and told my...

It is basically a pretty rudimentary exercise... something like 6 assets (3 stocks 2 bonds 1 cash) and 5 risk factors (interest rates)... we have 100 historic observations and from that he has asked me to generate the best fit and the scenarios... he has asked for something like 300...

If you mean im kidding because its too easy then pardon me im just entering the subject and am just grasping the concepts.. if you mean im kidding because you cant do it in excel than im out of luck because my teacher wants it that way... either way im open to criticisms

Thanks NeedOPT that was very helpful... I just need to see how to compute it in excel now

Hello.. I am taking a VaR Seminar and have been asked to do a VaR Montecarlo in Excel. So as part of the process i get historical data and get a best fit to assign a distribution. After that I need to generate random scenarios. The thing is, my teacher told me the scenarios need to follow a...

It seems to me that economics is a good base to enter into the investment world since you have a macro understanding of the environment. perhaps a maths major will have better applications than you but i think your intuition is also pretty valuable

Your right Yes, in Peru it is quite curious. Of the people studying economics only 5% works in that field, most of them go into finance. There is a certain resilience to being a business or finance undergrad because of the low academic difficulty of those programs. In fact people who study...

Strange I find it strange that Economics is not a popular undergrad specialization that leads to MFE given its quantitative natura.. Any thoughts about this?

Hi, I am an economics major in a university in Peru. My program is intensive on econometrics and we have the possibility of taking advanced optimization classes. A professor of mine who is an alumni did a specialization in financial engineering in harvard (i think it has been discontinued), and...