Wharton Pension Research Council Working Papers
 

Title

Stress Testing Monte Carlo Assumptions

Document Type

Working Paper

Date of this Version

10-1-2013

Abstract

Despite the evidence that returns are fat-tailed and that expected returns vary through time, most Monte Carlo simulations assume returns are independent and identically normally distributed. This study incorporates these return patterns in retirement simulations to illustrate how common assumptions about returns impact the output of Monte Carlo simulations.

Comments

The published version of this Working Paper may be found in the 2014 publication: Recreating Sustainable Retirement: Resilience, Solvency, and Tail Risk.

Working Paper Number

WP2013-25

Copyright/Permission Statement

All opinions, errors, findings, interpretations, and conclusions of this paper represent the views of the authors and not those of the Wharton School or the Pension Research Council. © 2013 Pension Research Council of the Wharton School of the University of Pennsylvania. All rights reserved.

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Date Posted: 26 June 2019