Simulating Security Returns: A Filtered Historical Simulation Approach - Image 1

£41.64

Palgrave Pivot Simulating Security Returns: A Filtered Historical Simulation Approach

Name: Simulating Security Returns: A Filtered Historical Simulation Approach
Brand: Palgrave Pivot
Price: 41.64 GBP
Availability: InStock

Management

This is the most expensive it has ever been. Walk away.

£42 today · previous high £42 · all-time low £42

NEW HERE?

Amazon shows you one price. We show you all of them.

Tosheroon watches Amazon prices so you don't have to. Every product on Amazon has a price history — we make it visible. Set the price you'd actually pay, and we'll email you the second it gets there. No app, no account, one email.

WHAT'S ON THIS PAGE

↓ Price chart
when this has been cheap or pricey

↓ Forecast
where the price is heading next

↓ Statistics
all-time high & low, recent range

↑ Price alert
name your number, we'll email you

Price History & Forecast

Grey patches = out of stock. Cheaper = lower on the chart. Hover for exact prices.

Last 41 days · 41 data points (no recent data)

Historical

Generating forecast…

Price Distribution

Price distribution over 41 days • 1 price levels

Days at Price

Price Analysis

Most common price: £42 (41 days, 100.0%)

Price range: £42 - £42

Price levels: 1 different prices over 41 days

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.

Product Specifications

Brand: Palgrave Pivot
Format: hardcover
ASIN: 1137465549
Category: Books > Subjects > Business, Finance & Law > Management
Domain: Amazon UK
Release Date: 04 November 2014
Listed Since: 29 August 2014

Barcode

No barcode data available

Palgrave Pivot Simulating Security Returns: A Filtered Historical Simulation Approach

This is the most expensive it has ever been. Walk away.

Price History & Forecast

Price Distribution

Price Analysis

Description

Product Specifications

Barcode

Similar Products You Might Like

Security Market Imperfections - Cambridge University Press

Fixed-Income Portfolio Analytics: A Practical Guide to Implementing, Monitoring and Understanding Fixed-Income Portfolios

Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies: 237 (The Wiley Finance Series)

Security Analysis and Portfolio Management: A Primer (Classroom Companion: Business)

Global Portfolio Diversification: Risk Management, Market Microstructure, and Implementation Issues (Economic Theory, Econometrics, and Mathematical Economics)

Fixed-Income Portfolio Analytics: A Practical Guide to Implementing, Monitoring and Understanding Fixed-Income Portfolios

Investment Theory and Risk Management: 711 (Wiley Finance)

The VaR Modeling Handbook: Practical Applications in Alternative Investing, Banking, Insurance, and Portfolio Management (PROFESSIONAL FINANCE & INVESTM)

Security Analysis, Portfolio Management, and Financial Derivatives

Quantitative Portfolio Optimisation, Asset Allocation and Risk Management: A Practical Guide to Implementing Quantitative Investment Theory (Finance and Capital Markets Series)

Quantitative Financial Analytics: The Path To Investment Profits

Portfolio Selection and Asset Pricing: Models of Financial Economics and Their Applications in Investing

Financial Markets and Institutions: United States Edition

Stock Market Volatility (Chapman & Hall/CRC Finance Series)

Reproducible Finance with R: Code Flows and Shiny Apps for Portfolio Analysis (Chapman & Hall/CRC The R Series)

Reproducible Finance with R: Code Flows and Shiny Apps for Portfolio Analysis (Chapman & Hall/CRC The R Series)

Financial Signal Processing and Machine Learning (IEEE Press)

Marchés financiers - 6e éd - Gestion de portefeuille et des risques: Gestion de portefeuille et des risques

Machine Learning for Factor Investing: R Version (Chapman and Hall/CRC Financial Mathematics Series)

Problems in Portfolio Theory and the Fundamentals of Financial Decision Making: 10 (World Scientific Series in Finance)

Stock Market Volatility (Chapman & Hall/CRC Finance Series)

Regulation of Securities, Markets, and Transactions: A Guide to the New Environment: 585 (Wiley Finance)

Market Tremors: Quantifying Structural Risks in Modern Financial Markets

Equity Derivatives and Hybrids: Markets, Models and Methods (Applied Quantitative Finance)