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How to Combine Long and Short Return Histories Efficiently
A common challenge in portfolio risk analysis is that certain assets have shorter return histories than others. Unfortunately, many standard portfolio risk analysis techniques—including historical tail risk measurement, regime-dependent risk analysis, and bootstrapping simulations—require full retur...
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Published in: | Financial analysts journal 2013-01, Vol.69 (1), p.45-52 |
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container_title | Financial analysts journal |
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creator | Page, Sébastien |
description | A common challenge in portfolio risk analysis is that certain assets have shorter return histories than others. Unfortunately, many standard portfolio risk analysis techniques—including historical tail risk measurement, regime-dependent risk analysis, and bootstrapping simulations—require full return histories for all assets or risk factors. The author presents easy instructions on how to efficiently combine data for investments whose histories differ in length and offers a new model to better account for non-normal distributions. |
doi_str_mv | 10.2469/faj.v69.n1.3 |
format | article |
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subjects | Algorithms Assets Bootstrap mechanism Covariance Data sampling Distribution Efficiency Estimates Great Depression History Investment Investment risk Kurtosis Mathematical moments Maximum likelihood estimation Measurement Missing data Modeling Normal distribution Portfolio Management Predisposing factors Recycling Return on investment Risk Risk assessment Simulation Stocks Studies Time series U.S.A |
title | How to Combine Long and Short Return Histories Efficiently |
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