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Simulating Security Returns

A Filtered Historical Simulation Approach

Éditeur :

Palgrave Pivot

Paru le : 2014-10-14

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 th...
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Description du livre

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.

À propos

Auteur
Giovanni Barone Adesi
Éditeur
Palgrave Pivot
Collection
n.c
Parution
2014-10-14
Pages
111 pages
EAN papier
9781349499571

Auteur(s) du livre


Defaut-Illustration Giovanni Barone Adesi
Robert Engle, New York University, USA Kostas Giannopoulos, Neapolis University, Cyprus Loriano Mancini, École polytechnique fédérale de Lausanne, Switzerland Les Vosper, unaffiliated, UK

Caractéristiques détaillées - droits

EAN PDF
9781137465559
Prix
52,74 €
Nombre pages copiables
1
Nombre pages imprimables
11
Taille du fichier
1198 Ko
Ce livre est accessible aux handicaps informations d'accessibilité

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