| 书目名称 | Simulating Security Returns | | 副标题 | A Filtered Historica | | 编辑 | Giovanni Barone Adesi (Professor) | | 视频video | | | 图书封面 |  | | 描述 | 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. | | 出版日期 | Book 2014 | | 关键词 | Derivative Securities; Option Pricing; Portfolio; investments and securities | | 版次 | 1 | | doi | https://doi.org/10.1057/9781137465559 | | isbn_ebook | 978-1-137-46555-9 | | copyright | Palgrave Macmillan, a division of Nature America Inc. 2014 |
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发表于 2025-3-21 18:51:37
