Simulations
Valuation, trading, and portfolio construction
The Valuation Desk: IB & equity research
Pick a company, build a DCF range under a time limit, then answer three questions on it.
Market Maker
Quote a bid/ask spread around a moving price and track your P&L as customer flow trades against you.
You quote a bid and ask around a moving mid price for 90ticks. A tighter spread gets hit more often but earns less per trade — and every fill is a chance the customer knew something you didn't. Breach the ±40-share risk limit and the desk will forcibly hedge you at a penalty price. Watch for storms.
Portfolio Risk Simulator: asset management & risk
Build a portfolio across 10 asset classes for a client mandate, then run a 500-path Monte Carlo simulation to check it against the constraints.
First, whose money is it? Each client hands you a written mandate — hard constraints your portfolio must satisfy all at once.
Marcus's mandate
- · Expected 1-year return of at least 6.5%
- · 95% CVaR no worse than −18%
- · At least 4 asset classes with 5%+ each (real diversification)
- · No single asset class above 50%
Portfolio: $100,000. Set weights below (they will be normalized to 100% automatically), then run 500 simulated 1-year paths.
US Large-Cap Equities
Equities · exp. return 10.0% · vol 16%
US Small-Cap Equities
Equities · exp. return 11.0% · vol 20%
Developed Intl. Equities
Equities · exp. return 8.0% · vol 18%
Emerging Market Equities
Equities · exp. return 9.0% · vol 22%
US Investment-Grade Bonds
Fixed Income · exp. return 4.5% · vol 6%
Long-Duration US Treasuries
Fixed Income · exp. return 4.0% · vol 10%
Real Estate (REITs)
Real Assets · exp. return 8.0% · vol 19%
Gold
Real Assets · exp. return 6.0% · vol 15%
Bitcoin / Crypto
Alternatives · exp. return 35.0% · vol 65%
Cash / T-Bills
Cash · exp. return 3.0% · vol 1%
Total weight: 100