Wagner Associates' exercise in using Monte Carlo in portfolio design. Financial Engineering News , a bimonthly newspaper on all aspects of financial risk assessment and management. Subscription is free. You ought to get it. Stonebridge Center is offering comprehensive online classes in risk analysis using Monte Carlo simulation.
Shorter durations are available.
The class will be the equivalent of four intensive in-class days of instruction. Richard O. Michaud, Efficient Asset Management, A Practical Guide to Stock Portfolio Optimization and Asset Allocation , Financial Management Association Survey and Synthesis Series June 1998. This book is the first to use Monte Carlo to address uncertainties in investment parameters. Michaud points out that these variables are uncertain. A fresh approach to portfolio optimization that has considerable promise.