Monte Carlo simulation

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Related to Monte Carlo analysis: Sensitivity analysis

Monte Carlo simulation

An analytical technique for solving a problem by performing a large number of trail runs, called simulations, and inferring a solution from the collective results of the trial runs. Method for calculating the probability distribution of possible outcomes.
Copyright © 2012, Campbell R. Harvey. All Rights Reserved.

Monte Carlo Simulation

A computer simulation that seeks to determine the likelihood of various scenarios by running multiple simulations using random variables. The results of the Monte Carlo simulation show the most likely outcomes.
Farlex Financial Dictionary. © 2012 Farlex, Inc. All Rights Reserved

Monte Carlo simulation.

A Monte Carlo simulation can be used to analyze the return that an investment portfolio is capable of producing. It generates thousands of probable investment performance outcomes, called scenarios, that might occur in the future.

The simulation incorporates economic data such as a range of potential interest rates, inflation rates, tax rates, and so on. The data is combined in random order to account for the uncertainty and performance variation that's always present in financial markets.

Financial analysts may employ Monte Carlo simulations to project the probability of your retirement account investments producing the return you need to meet your long-term goals.

Dictionary of Financial Terms. Copyright © 2008 Lightbulb Press, Inc. All Rights Reserved.
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The assumptions for the Monte Carlo analysis are given in Table 1.
Monte Carlo Analysis is an extension of game theory that involves applying a random number generator to complete a large number of trials across the probability distribution for a finite number of outcomes.
If Monte Carlo analysis was performed, then each entry of the database is selected randomly for each trial.
We investigate this issue via a Monte Carlo analysis which (with a large enough number of trials) is able to give a direct estimate of the mean of the consumer surplus measure.
Thanks to the increased power of personal computing devices and the new open-source SIPmath data standard, which runs in Excel without the use of add-ins or macros, (5) anyone with access to Microsoft Excel can now perform Monte Carlo analysis. The standard represents uncertainties as columns of thousands of possible outcomes in Excel or other environments.
Using Monte Carlo analysis methods that simulate possible allocations a glide path could take, Morningstar tested the likelihood of investors being able to successfully retire.
2008), we conducted a probabilistic analysis using Monte Carlo analysis with Crystal Ball software, incorporating 10,000 iterations, whereas Xue et al.
The first is a set of extensive tutorials introducing Monte Carlo analysis and showing how the PcNaive program can be used.
Two did a Monte Carlo analysis, while the others made straight line projections of investment return, ranging from a 6% return each and every year through retirement to a 7.68% return.
He develops a SPICE-like netlist or node list method of nominal circuit analysis; then adds subprogram routines to perform tolerance analysis using root-sum-square, extreme value analysis, and Monte Carlo analysis in the direct-current, frequency, and time domains.