okama.Portfolio.plot_forecast_monte_carlo

Portfolio.plot_forecast_monte_carlo(distr='norm', years=1, n=20, figsize=None)

Plot Monte Carlo simulation for portfolio wealth indexes together with historical wealth index.

Random wealth indexes are generated according to a given distribution.

Parameters:

distr{‘norm’, ‘lognorm’}, default ‘norm’

Distribution type for the rate of return of portfolio. ‘norm’ - for normal distribution. ‘lognorm’ - for lognormal distribution.

yearsint, default 1

Investment period length for new wealth indexes It should not exceed 1/2 of the portfolio history period length ‘period_length’.

nint, default 20

Number of random wealth indexes to generate with Monte Carlo simulation.

figsize(float, float), optional

Width, height in inches. If None default matplotlib figsize value is used.

Examples

>>> import matplotlib.pyplot as plt
>>> pf = ok.Portfolio(['SPY.US', 'AGG.US', 'GLD.US'],
...                    weights=[.60, .35, .05],
...                    rebalancing_period='year')
>>> pf.plot_forecast_monte_carlo(years=5, distr='lognorm', n=100)
>>> plt.show()