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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