Portf. Return Simulator

Portfolio Return Simulator

Forecasts portfolio return distributions.

 
 

Features

PRS uses Monte Carlo simulation to simulate portfolio return. It has special features that can be used to…

Specify annual, quarterly, monthly, weekly, or daily time periods.

Specify any horizon date in the future.

Specify a joint return distribution for all kinds of assets, including stocks, bonds, bank-loans, risk-free assets, futures, swaps and options.

Specify a portfolio containing any combination of investment weights for the assets.

Specify the number of simulation trials.

Specify the number of points on the probability distribution of portfolio return.

 

Applications

PRS allows you to research a variety of investment scenarios. You can use it to…

simulate the probability distribution of portfolio return for any horizon in the future, for a portfolio with just a single initial investment.

simulate the probability distribution of portfolio return for any horizon in the future, for a portfolio built over time with a periodic savings plan but no initial investment.

simulate the probability distribution of portfolio return for any horizon in the future, for a portfolio with a given initial investment followed by a periodic savings plan.

calculate the probability of achieving a given portfolio return at the specified horizon.

calculate the summary statistics for the portfolio return distribution on the horizon date, including the mean, standard deviation, skewness and kurtosis.

 

Platforms

C/C++ libraries for Windows

C/C++ libraries for Linux
 

No limits in the subroutine libraries, and they are thread safe.
The object code can be encapsulated with a Java, or C/C++ wrapper to build Internet and Intranet systems.
 

We provide support by e-mail and telephone during business hours Pacific Time, U.S.A.

We provide consulting services for building in-house systems that incorporate the PRS subroutine library or software components.

 

Updated 3/23/13