Originally published: 28/03/2019 08:15
Last version published: 15/03/2020 15:38
Publication number: ELQ-33616-3
View all versions & Certificate
Last version published: 15/03/2020 15:38
Publication number: ELQ-33616-3
View all versions & Certificate
Monte Carlo Analysis (without macros) Excel Model
This post explains how to run full Monte Carlo analysis in Excel without macros
Further information
Perform sensitivity analysis in situations of uncertainty or limited input data
Financial modelling in situations involving uncertainty
None
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- COOLthis is so cool
- Great, InstructiveVery instructive, there are great examples by distributions
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Discussion feed for Monte Carlo Analysis (without Macros) Excel Model
The user community and author are here to help. Go ahead!
- Andrei, how do you deal with correlations among inputs without VBA? I understand that one need e.g. Cholesky decomposition to transform uncorrelated to correlated inputs? Alexei
- Hi Alexei -
If you look at "Indexation and interest" of the file, to make two correlated arrays I take numbers from an array and "mix" it with random numbers from an independent array. This "mixing" take place in column H (titled "Correlated") and the formula is:
Random_number x Corr_coeff + New_random_number x SqRoot(1 - Corr_coeff^2)
This formula essentially "decomposes" the definition of linear correlation. No need for VBA or complex matrices...
Andrei- Thank you Andrei. It seems to me that it is possible to have only two correlated inputs w/out VBA. For 3 and more one needs Cholesky decomp or copulas?
- Hi Alexei,
I think we can decompose the covariance matrix in Excel as generate multiple correlations without VBA but the formulas will be more complex. By the way, the correlation formula I am using is a special case of Cholesky decomposition for two elements.
Andrei
