Using the data from the previous example, simulate 36 months of stock returns assuming the same variance-covariance

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Using the data from the previous example, simulate 36 months of stock returns assuming the same variance-covariance structure as the historical returns. Notice that it doesn?t make sense to assume that the forward-looking expected monthly returns are the same as the historical returns. Instead, use the following values:

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Financial Modeling

ISBN: 9780262027281

4th Edition

Authors: Simon Benninga

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