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Los Angeles, CA
March 31, 2009 to April 2, 2009
ISBN: 978-0-7695-3507-4
pp: 379-383
ABSTRACT
Monte Carlo simulation replaces deterministic values in equations with probabilistic values. Multiple solutions are computed by randomly sampling each probability distribution and an array of summary statistics are generated. This computational procedure represents a clear advance over discrete sensitivity analysis, scenario generation and what-if analysis for risk assessment. Crystal Ball is a simulation program that works within Microsoft Excel. Consequently, any problem that can be quantified in a spreadsheet can be the basis for a Monte Carlo simulation. This paper will explore and demonstrate the use of this computational procedure for such business applications as inventory management, portfolio optimization, project selection, reservation management, and benefits management. The conference presentation will also include a demonstration of the software application.
INDEX TERMS
Monte Carlo Simulation, Simulation, Spreadsheet Simulation, Crystal Ball, Oracle
CITATION
Gerald E. Evans, Belva Jones, "The Application of Monte Carlo Simulation in Finance, Economics and Operations Management", CSIE, 2009, 2009 WRI World Congress on Computer Science and Information Engineering, CSIE, 2009 WRI World Congress on Computer Science and Information Engineering, CSIE 2009, pp. 379-383, doi:10.1109/CSIE.2009.703
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