The issue of whether to the MC or LH sampling method in @RISK often causes a lot of discussion. These days, it is a topic that I tend to de-emphasise when running training courses for several reasons. [Read more…] about Monte Carlo versus Latin Hypercube Sampling in @RISK
Archives for February 2012
It is often thought that a large portfolio of assets is well-diversified, in the sense that its standard deviation is proportionally smaller than that of the individual assets. This can lead to the often implicitly assumed, but incorrect, assumption that risk can be reduced to any desired level by having a sufficiently large portfolio. This blog shows that the potential diversification effect is often much less than is often appreciated. [Read more…] about Is Diversification Through Large Portfolios a Myth?
Once again, apologies to readers, due to my busy schedule!! Last week saw me running a 5 day course on financial modelling for one of the largest banks in Indonesia, covering the full range of topics from best practices through to risk modelling, taking a look at financial statements, valuation, lookup functions, risk modelling and optimisation (amongst other topics) along the way! I’ve finally got around to thinking about organising a public course on financial modelling for oil and gas, including risk modelling, decision-making and optimisation etc. This is planned for May 22-25th in London. Read here for more.