Simulating Security Returns

A Filtered Historical Simulation Approach

Business & Finance, Industries & Professions, Insurance, Finance & Investing, Investments & Securities
Cover of the book Simulating Security Returns by Giovanni Barone Adesi, Palgrave Macmillan US
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Giovanni Barone Adesi ISBN: 9781137465559
Publisher: Palgrave Macmillan US Publication: October 14, 2014
Imprint: Palgrave Pivot Language: English
Author: Giovanni Barone Adesi
ISBN: 9781137465559
Publisher: Palgrave Macmillan US
Publication: October 14, 2014
Imprint: Palgrave Pivot
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

More books from Palgrave Macmillan US

Cover of the book Executive Greed by Giovanni Barone Adesi
Cover of the book Beyond Catholicism by Giovanni Barone Adesi
Cover of the book Dewey’s Social Philosophy by Giovanni Barone Adesi
Cover of the book The Making of Global Health Governance by Giovanni Barone Adesi
Cover of the book State Power and Democracy by Giovanni Barone Adesi
Cover of the book Gender and Innovation in the New Economy by Giovanni Barone Adesi
Cover of the book Environmental and Health Regulation in the United States and the European Union by Giovanni Barone Adesi
Cover of the book Readings of Trauma, Madness, and the Body by Giovanni Barone Adesi
Cover of the book Cultural Wounding, Healing, and Emerging Ethnicities by Giovanni Barone Adesi
Cover of the book Shakespearean Neuroplay by Giovanni Barone Adesi
Cover of the book Forensic Economics by Giovanni Barone Adesi
Cover of the book Isaiah Berlin by Giovanni Barone Adesi
Cover of the book Developing Christian Servant Leadership by Giovanni Barone Adesi
Cover of the book Drugs in Africa by Giovanni Barone Adesi
Cover of the book The Tobacco-Plantation South in the Early American Atlantic World by Giovanni Barone Adesi
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy