Tagged Questions
6
votes
0answers
117 views
Consistency of economic scenarios in nested stochastics simulation
I am interested in references on research regarding the consistency of economic scenarios in nested stochastics for risk measurement.
Background:
Pricing by Monte-Carlo:
For pricing complex ...
7
votes
1answer
397 views
Monte carlo portfolio risk simulation
My objective is to show the distribution of a portfolio's expected utilities via random sampling.
The utility function has two random components. The first component is an expected return vector ...
7
votes
2answers
382 views
Is there any research on applying state-space or dynamic linear models to forecasting equity risk premia?
Is there any research on applying state-space or dynamic linear models to forecasting equity risk premia on a security-by-security basis with a medium term horizon (say 3 month to 12 months horizon)?
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