Tag Info

New answers tagged


Yes, this technique is called moment matching variance reduction and it may indeed lead to a form of variance reduction. The first and second order moments correspond to the mean and the variance of the distribution. You can extend to higher order moments, which is of course more difficult to implement and creates some extra overhead. The mean can be adjust ...


This sounds correct, however step 2 is a little vague, so I will try to restate the steps here for you. The assets in your portfolio must be priced with respect to a set of risk factors (e.g. interest rate curve). Each scenario consists of a value for each of your risk factors. Given the value of your risk factors you can price your portfolio. You want ...

Top 50 recent answers are included