Téléchargez le livre : Simulating Security Returns

Simulating Security Returns

A Filtered Historical Simulation Approach

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Éditeur :

Palgrave Pivot


Paru le : 2014-10-14



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Description
Practitioners in risk management are familiar with the use of the FHS (filtered historical simulation) to finding realistic simulations of security returns. This approach has become increasingly popular over the last fifteen years, as it is both flexible and reliable, and is now being accepted in the academic community. Simulating Security Returns is a useful guide for researchers, students, and practitioners. It uses the FHS approach to help simulate the returns of large portfolios of securities. While other simulation methods use the covariance matrix of security returns, which suffers the curse of dimensionality even for modest portfolios, Barone Adesi demonstrates how FHS can accurately adjust to current market conditions.
Pages
111 pages
Collection
n.c
Parution
2014-10-14
Marque
Palgrave Pivot
EAN papier
9781349499571
EAN PDF
9781137465559
Informations sur l'ebook
Nombre pages copiables
1
Nombre pages imprimables
11
Taille du fichier
1198 Ko
Ce livre est accessible aux handicaps Voir les informations sur l'accessibilité
Prix
52,74 €

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