Simulating Security Returns - A Filtered Historical Simulation Approach (Hardcover)

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.

General

Imprint:	Palgrave Pivot
Country of origin:	United Kingdom
Release date:	October 2014
First published:	2015
Authors:	Giovanni Barone- Adesi
Editors:	Giovanni G. Barone-Adesi
Dimensions:	216 x 140 x 15mm (L x W x T)
Format:	Hardcover
Pages:	111
ISBN-13:	978-1-137-46554-2
Categories:	Books > Business & Economics > Business & management > Management & management techniques > General Books > Business & Economics > Finance & accounting > Finance > Investment & securities > General Books > Money & Finance > Investment & securities > General
LSN:	1-137-46554-9
Barcode:	9781137465542

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