{"title":"金融建模中的蒙特卡罗模拟","authors":"K. Simsek","doi":"10.3905/jpm.2023.1.521","DOIUrl":null,"url":null,"abstract":"Models in asset management require consideration of uncertainty. Monte Carlo simulation is a popular quantitative tool that assigns random values to input variables in order to draw inferences about an uncertain outcome. This article explains and illustrates the main characteristics of Monte Carlo simulation and presents examples for its application in option pricing, portfolio insurance, and portfolio risk management.","PeriodicalId":53670,"journal":{"name":"Journal of Portfolio Management","volume":"49 1","pages":"178 - 188"},"PeriodicalIF":1.1000,"publicationDate":"2023-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Monte Carlo Simulation in Financial Modeling\",\"authors\":\"K. Simsek\",\"doi\":\"10.3905/jpm.2023.1.521\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Models in asset management require consideration of uncertainty. Monte Carlo simulation is a popular quantitative tool that assigns random values to input variables in order to draw inferences about an uncertain outcome. This article explains and illustrates the main characteristics of Monte Carlo simulation and presents examples for its application in option pricing, portfolio insurance, and portfolio risk management.\",\"PeriodicalId\":53670,\"journal\":{\"name\":\"Journal of Portfolio Management\",\"volume\":\"49 1\",\"pages\":\"178 - 188\"},\"PeriodicalIF\":1.1000,\"publicationDate\":\"2023-07-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Portfolio Management\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.3905/jpm.2023.1.521\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Portfolio Management","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.3905/jpm.2023.1.521","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Models in asset management require consideration of uncertainty. Monte Carlo simulation is a popular quantitative tool that assigns random values to input variables in order to draw inferences about an uncertain outcome. This article explains and illustrates the main characteristics of Monte Carlo simulation and presents examples for its application in option pricing, portfolio insurance, and portfolio risk management.
期刊介绍：
Founded by Peter Bernstein in 1974, The Journal of Portfolio Management (JPM) is the definitive source of thought-provoking analysis and practical techniques in institutional investing. It offers cutting-edge research on asset allocation, performance measurement, market trends, risk management, portfolio optimization, and more. Each quarterly issue of JPM features articles by the most renowned researchers and practitioners—including Nobel laureates—whose works define modern portfolio theory.
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