Nematrian
/


Creating portfolio risk and return models [30]

Go to: Summary | Previous | Next   
Bullet points include: Ways of reducing Monte Carlo sample sizes including: Changing variables and importance sampling Stratified sampling Quasi- (that is sub-) random sequences Weighted Monte Carlo For multivariate series (will in practice usually be the focus): For Gaussian type innovations / random variables use Cholesky decomposition Fat-tailed marginals catered for by using inverse of cdf Fat-tailed copulas more tricky

NAVIGATION LINKS
Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile