If two assets have exactly the same mean return in the MC simulation. A division by zero might occur.
Such a realization has zero probability if the distribution is continuous. In some case, when all the assets have the same cap or floor of return, it can occur with positive probability.
zhangyi-hu
commented
7 years ago
If two assets have exactly the same mean return in the MC simulation. A division by zero might occur.
Such a realization has zero probability if the distribution is continuous. In some case, when all the assets have the same cap or floor of return, it can occur with positive probability.