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Pathological realizations among Monte Carlo results?

Posted: Thu Jun 29, 2017 10:10 pm
by GDK
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

Re: Pathological realizations among Monte Carlo results?

Posted: Thu Jun 29, 2017 10:26 pm
by jimr
There's no magic built into the simulation logic in that respect. It just takes what the pseudo random generator gives it and runs with it.

Re: Pathological realizations among Monte Carlo results?

Posted: Fri Jun 30, 2017 6:00 pm
by GDK
Got it, thanks Jim!