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Simulating Security Returns: A Filtered Historical Simulation Approach
Giovanni Barone Adesi
€ 63.86
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Description for Simulating Security Returns: A Filtered Historical Simulation Approach
Hardcover. Simulating Security Returns uses the FHS approach to help simulate the returns of large portfolios of securities. Num Pages: 111 pages, biography. BIC Classification: KFF; KFFM; KFFM2. Category: (P) Professional & Vocational. Dimension: 224 x 163 x 15. Weight in Grams: 302.
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 ... Read more
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 ... Read more
Product Details
Format
Hardback
Publication date
2014
Publisher
Palgrave Pivot
Condition
New
Number of Pages
111
Place of Publication
Basingstoke, United Kingdom
ISBN
9781137465542
SKU
V9781137465542
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About 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
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