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Books > Business & Economics > Finance & accounting > Finance > Investment & securities
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Simulating Security Returns - A Filtered Historical Simulation Approach (Hardcover)
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Simulating Security Returns - A Filtered Historical Simulation Approach (Hardcover)
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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.
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