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Simulating Security Returns on Hardback by Giovanni Barone- Adesi
Simulating Security Returns on Hardback by Giovanni Barone- Adesi
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Simulating Security Returns

A Filtered Historical Simulation Approach
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$149.00
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Description

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.

Author Biography:

Robert Engle, New York University, USA Kostas Giannopoulos, Neapolis University, Cyprus Loriano Mancini, École polytechnique fédérale de Lausanne, Switzerland Les Vosper, unaffiliated, UK
Release date NZ
November 4th, 2014
Audience
  • Professional & Vocational
Contributor
  • Edited by Giovanni G. Barone-Adesi
Illustrations
XII, 111 p.
Pages
111
Dimensions
140x216x11
ISBN-13
9781137465542
Product ID
22805651

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