Pathological realizations among Monte Carlo results?
Posted: Thu Jun 29, 2017 10:10 pm
Wondering if highly unlikely Monte Carlo realizations are identified and excluded from the probability of success calculation -- or if they don't occur. My expectation from Monte Carlo is that I might see an occasional multiple sigma rate of return, and maybe that would be a + or - 25% or 30% return. But if I saw a + or - 50%, I would exclude it. I can't tell from the output that FRP produces. Thoughts?
Thank you
Thank you