TY - GEN
T1 - The application of Monte Carlo simulation in finance, economics and operations management
AU - Evans, Gerald E.
AU - Jones, Belva
PY - 2009
Y1 - 2009
N2 - Monte Carlo simulation replaces deterministic values in equations with probabilistic values. Multiple solutions are computed by randomly sampling each probability distribution and an array of summary statistics are generated. This computational procedure represents a clear advance over discrete sensitivity analysis, scenario generation and what-if analysis for risk assessment. Crystal Ball is a simulation program that works within Microsoft Excel. Consequently, any problem that can be quantified in a spreadsheet can be the basis for a Monte Carlo simulation. This paper will explore and demonstrate the use of this computational procedure for such business applications as inventory management, portfolio optimization, project selection, reservation management, and benefits management. The conference presentation will also include a demonstration of the software application.
AB - Monte Carlo simulation replaces deterministic values in equations with probabilistic values. Multiple solutions are computed by randomly sampling each probability distribution and an array of summary statistics are generated. This computational procedure represents a clear advance over discrete sensitivity analysis, scenario generation and what-if analysis for risk assessment. Crystal Ball is a simulation program that works within Microsoft Excel. Consequently, any problem that can be quantified in a spreadsheet can be the basis for a Monte Carlo simulation. This paper will explore and demonstrate the use of this computational procedure for such business applications as inventory management, portfolio optimization, project selection, reservation management, and benefits management. The conference presentation will also include a demonstration of the software application.
UR - http://www.scopus.com/inward/record.url?scp=71049165958&partnerID=8YFLogxK
U2 - 10.1109/CSIE.2009.703
DO - 10.1109/CSIE.2009.703
M3 - Conference contribution
AN - SCOPUS:71049165958
SN - 9780769535074
T3 - 2009 WRI World Congress on Computer Science and Information Engineering, CSIE 2009
SP - 379
EP - 383
BT - 2009 WRI World Congress on Computer Science and Information Engineering, CSIE 2009
T2 - 2009 WRI World Congress on Computer Science and Information Engineering, CSIE 2009
Y2 - 31 March 2009 through 2 April 2009
ER -