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Historical simulation in finance's value at risk (VaR) analysis is a procedure for predicting the value at risk by 'simulating' or constructing the cumulative distribution function (CDF) of assets returns over time assuming that future returns will be directly sampled from past returns. [1]
Date/Time (Extended): SQL Server's smalldatetime format has precision of 1 minute, minimum date value is 1900-01-01, maximum date value is 2079-06-06; datetime format has precision of 10/3 milliseconds (rounded to increments of .000, .003, or .007 seconds), minimum date value is 1753-01-01, maximum date value is 9999-12-31; datetime2 format has ...
The weighted average return on assets, or WARA, is the collective rates of return on the various types of tangible and intangible assets of a company.. The presumption of a WARA is that each class of a company's asset base (such as manufacturing equipment, contracts, software, brand names, etc.) carries its own rate of return, each unique to the asset's underlying operational risk as well as ...
Mean reversion is a financial term for the assumption that an asset's price will tend to converge to the average price over time. [1] [2]Using mean reversion as a timing strategy involves both the identification of the trading range for a security and the computation of the average price using quantitative methods.
The rate of return on a portfolio can be calculated indirectly as the weighted average rate of return on the various assets within the portfolio. [3] The weights are proportional to the value of the assets within the portfolio, to take into account what portion of the portfolio each individual return represents in calculating the contribution of that asset to the return on the portfolio.
Example investment portfolio with a diverse asset allocation. Asset allocation is the implementation of an investment strategy that attempts to balance risk versus reward by adjusting the percentage of each asset in an investment portfolio according to the investor's risk tolerance, goals and investment time frame. [1]
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This result stood in sharp contrast with the average equity premium of 6% observed during the historical period. In 1982, Robert J. Shiller published the first calculation that showed that either a large risk aversion coefficient or counterfactually large consumption variability was required to explain the means and variances of asset returns. [5]