Applications of Monte Carlo Methods The Rational Investor Allocation Markowitz Portfolio Optimisation seeks to find a set of weights for N assets in a portfolio such that the risk adjusted return of the portfolio is maximised (aka the Sharpe Ratio). This is the portfolio the so called “rational investor” would choose as clearly no…

Applications of Change-point Detection, Cox Regression, and Bayesian Hierarchical Models — A company’s performance relative to its peers will be ultimately driven by management’s strategic decision making ability to drive growth and position the organisation for changing market conditions. Whilst investors ultimately care about picking stocks with management teams that can generate returns for shareholders, it is also important to be…