I found this interesting article about the problems with the Monte Carlo Simulation.
I like some parts of this article:
"The problem is that the typical assumption set used in Monte Carlo simulation assumes normal distributions and correlation coefficients of zero, neither of which are typical in the world of financial markets"
"Unfortunately, the parents turn into grandparents with foggy memories, and the children into parents who don’t remember the toys that broke. So several generations later, the old toys are back under the tree waiting to break again. ... Today, history is repeating itself with nifty spreadsheet add-ons that do all of the heavy lifting for Monte Carlo simulation and with the converts thrilled with their new toy"
"The problem is the confusion of risk with uncertainty. Risk assumes knowledge of the distribution of future outcomes (i.e., the input to the Monte Carlo simulation). Uncertainty or ambiguity describes a world (our world) in which the shape and location of the distribution is open to question. Contrary to academic orthodoxy, the distribution of U.S. stock market returns is far from normal."