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OverviewPractitioners 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. Full Product DetailsAuthor: Giovanni Barone Adesi , Giovanni G. Barone-AdesiPublisher: Palgrave Macmillan Imprint: Palgrave Pivot Dimensions: Width: 14.00cm , Height: 1.10cm , Length: 21.60cm Weight: 0.309kg ISBN: 9781137465542ISBN 10: 1137465549 Pages: 111 Publication Date: 04 November 2014 Audience: Professional and scholarly , Professional & Vocational Format: Hardback Publisher's Status: Active Availability: In Print  This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us. Table of ContentsReviewsAuthor InformationRobert Engle, New York University, USA Kostas Giannopoulos, Neapolis University, Cyprus Loriano Mancini, École polytechnique fédérale de Lausanne, Switzerland Les Vosper, unaffiliated, UK Tab Content 6Author Website:Countries AvailableAll regions |
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