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
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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.

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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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