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Suppose you plan to use the Monte Carlo simulation to calculate the VaR of your portfolio. You are confident that the Geometric Brownian motion will
Suppose you plan to use the Monte Carlo simulation to calculate the VaR of your portfolio. You are confident that the Geometric Brownian motion will capture your portfolios price process well. Please list the steps of estimating the VaR using the Monte Carlo approach.
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Health Care Finance Basic Tools For Nonfinancial Managers
Authors: Judith J. Baker, R.W. Baker, Neil R. Dworkin
5th Edition
1284118215, 978-1284118216
