- Joined
- 1/2/07
- Messages
- 128
- Points
- 28
I am working on a project that generates twelve months of random returns subject to certain constraints such as annual return, annual volatility, and upper and lower limits for any single month return. Other constraints are a skewness of +- .03 and a kurtosis >= 2 and <= 4
To do this, I am using the Solver tool and VBA. I have no problems generating random numbers, and my constraints are matched, however after running the program a few times I see an output that repeats the same numbers. For example:
At first I might get something like this:
14.77%
3.55%
-8.00%
-8.00%
3.52%
3.44%
3.57%
3.50%
3.53%
0.08%
0.96%
3.51%
Which is generally acceptable. However, often I will get a return stream like this one:
-0.79%
14.81%
-8.00%
-8.00%
3.31%
3.31%
3.31%
3.31%
3.31%
3.26%
3.30%
3.30%
Which repeats 3.31% too often. Does anyone know why this could be, and if there is a way to limit the number of occurences of values that fall within a certain range of each other?
Thank you!
To do this, I am using the Solver tool and VBA. I have no problems generating random numbers, and my constraints are matched, however after running the program a few times I see an output that repeats the same numbers. For example:
At first I might get something like this:
14.77%
3.55%
-8.00%
-8.00%
3.52%
3.44%
3.57%
3.50%
3.53%
0.08%
0.96%
3.51%
Which is generally acceptable. However, often I will get a return stream like this one:
-0.79%
14.81%
-8.00%
-8.00%
3.31%
3.31%
3.31%
3.31%
3.31%
3.26%
3.30%
3.30%
Which repeats 3.31% too often. Does anyone know why this could be, and if there is a way to limit the number of occurences of values that fall within a certain range of each other?
Thank you!