£39.99

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£40 today · cheaper than every other day in the last 3 months

Palgrave Pivot Simulating Security Returns: A Filtered Historical Simulation Approach

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£41.64 £39.83 £40.22 £40.62 £41.01 £41.41 £41.81 25 July 2026 12 August 2026 31 August 2026 18 September 2026 07 October 2026
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Most common price: £42 (57 days, 76.0%)

Price range: £40 - £42

Price levels: 2 different prices over 75 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

Format
hardcover
Domain
Amazon UK
Release Date
04 November 2014
Listed Since
29 August 2014

Barcode

No barcode data available

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