Douglas_Knight comments on "Risk" means surprise - LessWrong

6 Post author: PhilGoetz 22 May 2015 04:47AM

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Comment author: Douglas_Knight 24 May 2015 09:59:56PM 0 points [-]

So, it randomly samples from the empirical distribution?

You seem to be reading "non-Markovian" as "Markovian."

Comment author: PhilGoetz 25 May 2015 09:29:22PM *  0 points [-]

No, he's reading it correctly. It randomly samples from the distribution, not from the time-sequence. And that isn't a good idea. But this Monte Carlo simulator is still better than the others I've looked at. I'm surprised, given the amount of money at stake, that I haven't seen a personal finance simulator that doesn't completely suck.

And what about asset class correlations?

See Vaniver's answer below.

Comment author: Vaniver 26 May 2015 01:18:34PM 0 points [-]

I was surprised by your use of "non-Markovian," by the way, because this seems like a Markovian model to me.