Pathological realizations among Monte Carlo results?

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GDK
Posts: 15
Joined: Wed Jun 07, 2017 10:29 pm

Pathological realizations among Monte Carlo results?

Post 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
jimr
Posts: 821
Joined: Thu Feb 28, 2008 6:48 pm

Re: Pathological realizations among Monte Carlo results?

Post 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.
GDK
Posts: 15
Joined: Wed Jun 07, 2017 10:29 pm

Re: Pathological realizations among Monte Carlo results?

Post by GDK »

Got it, thanks Jim!
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