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Variance-Corrected Multi-Asset Equity Simulation with Hybrid Hidden Markov Marginals

Alswaidan, Abdulrahman et al.
arXiv (All) · Papers
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machine-learningrisk-managementstatistical-finance
Synthetic multi-asset equity data must reproduce each asset's return distribution and its relationship with the market. Reusing a generator fitted to full asset returns creates a problem: adding its draws to a market factor counts market variance twice. We derived a correction that centers and resca
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