Few people know that the fundamentals of the Montecarlo simulations are attributed to Enrico Fermi and Jon Von Neumann, the latter being the creator of the first computer and also mentor to Harry Markowitz at the beginning of his career as a practitioner (this was in the 1940’s). The name Montecarlo was chosen in honor of the famous Monegasque casino, as the models simulate random data combined with various methodologies. These simulations are useful in understanding the characteristics of a financial historical series and the associated probabilities that are often difficult to decipher without data computation. For example, if I invest in a fund that has an average annual return of 5% and a volatility of 7%, what are my chances of having a positive return the following year? And after three years? How about five? These answers can be obtained through mathematical probability calculations, but also, and perhaps more
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