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Portfolio Simulation

Introduction

I ran a simulation for analyzing a portfolio containing 4 stocks HDFC, RIL, YES BANK & INDUSIND by considering historical data of the past 10 years. This model takes into account the uncertainty in returns.

(The stocks taken or simulation results do not construe to any kind of trading advice and the said simulation is strictly meant for academic purposes only)

Details of Simulation

  • Number of Iterations are 2,000

  • Number of Stocks taken are 4

  • Considered the past 10 Years Monthly Data

  • Lognormal Model (Stock Price Changes)

Results

  • Mean portfolio Return 14.13%

  • Probability of positive return 62.87%

  • VAR of portfolio return -27.84%

Tools

  • RISK Tool by Palisade (Academic Use Only)

  • Microsoft Excel