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This book uses Simtools.xla, a
free add-in for simulation and decision analysis in Microsoft Excel.
Available here are the spreadsheets that appear as figures in each chapter of the
book, as well as sample text from two chapters.
- Introduction to probability models and simulation in spreadsheets. [draft text] [chapter1.xls] (Independence,
conditional probabilities, basic techniques of simulation in spreadsheets.)
- Discrete random variables. [draft text] [chapter2.xls] (Expected value
and standard deviation from probabilities, simulation from inverse cumulative, law of
large numbers, 95% confidence interval for expected value from sample data, the expected
value criterion for optimal decisions, cumulative risk profiles)
- Utility theory with constant risk tolerance. [chapter3.xls] (Utility
functions, certainty equivalent, constant risk tolerance.)
- Continuous random variables. [chapter4.xls] (Normal
distribution, central limit theorem, Lognormal distribution for growth rates, the EXP and
LN functions, fitting Generalized-lognormals for subjectively assessed quartiles.)
- Correlation and Multivariate Normal random variables. [chapter5.xls] (Covariance and
correlation, using CORAND to simulate Multivariate Normals, linear combinations of random
variables, portfolio analysis.)
- Conditional expectation. [chapter6.xls] (Expected
posterior law, introduction to regression.)
- Optimization of decision variables. [chapter7.xls] (Analysis of
decision variables in simulation models, strategic value of information, use and
limitations of Solver, newsboy problem, bidding problem, winner's curse.)
- Risk sharing and finance. [chapter8.xls] (Optimal risk
sharing among investors with constant risk tolerances, moral-hazard incentive constraints,
asset pricing with constant risk-tolerant investors.)
- Dynamic models of growth and arrivals. [chapter9.xls] (Net present
value, forecasting models, Brownian motion, logoptimal investment strategies, exponential
arrival and queuing models, project length models.)
Preface, Bibliographic Note,
and Table of Contents.
Simtools.xla is available with documentation at http://home.uchicago.edu/~rmyerson/addins.htm. |