Simulating Security Returns: A Filtered Historical Simulation Approach

Barone Adesi, Giovanni; Barone-Adesi, Giovanni G.

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.

Details

Published by: Palgrave Pivot

Publication Date: 2014-11-04

Format: Hardcover

ISBN-13: 9781137465542

DOI: 10.1057/9781137465559

Dimensions: 216cm x140cm

Pages: 111