Technology

Recently I saw an article about Monte Carlo Analysis, which (as you know) is a way to evaluate a person’s ability to meet their future income needs. Using a portfolio of securities or asset allocations it runs through as many rolling periods as available in the data, to come up with a probability of meeting future income needs. Certainly Monte Carlo Analysis is not great...

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You may have heard of Markowitz’s Critical Line Algorithm, or CLA. CLA was Markowitz’s attempt to solve the problem of portfolio optimization using quadratic math. For a couple reasons is was an ingenious invention. But it also has its problems. The problem with CLA is that it demonstrates large changes in the portfolio with small changes in the forecasted returns of assets. This is a big problem...

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