1. There are different ways of computing the expected shortfall of a portfolio. A common approach is...
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1. There are different ways of computing the expected shortfall of a portfolio. A common approach is to use historical asset returns to simulate the portfolio return distribution. In the study presented in this chapter, why did the authors use a factor model and the associated factor return history to simulate a portfolio’s historical return distribution?
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Equity Valuation And Portfolio Management
ISBN: 9780470929919
1st Edition
Authors: Frank J. Fabozzi, Harry M. Markowitz
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