Simulating Security Returns is popular PDF and ePub book, written by Giovanni Barone Adesi in 2014-10-14, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Simulating Security Returns can be Read Online from any device for your convenience.
Simulating Security Returns Book PDF Summary
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.
Detail Book of Simulating Security Returns PDF
- Author : Giovanni Barone Adesi
- Release : 14 October 2014
- Publisher : Springer
- ISBN : 9781137465559
- Genre : Business & Economics
- Total Page : 183 pages
- Language : English
- PDF File Size : 14,5 Mb
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