Using the data from the previous example, simulate 36 months of stock returns assuming the same variance-covariance
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Using the data from the previous example, simulate 36 months of stock returns assuming the same variance-covariance structure as the historical returns. Notice that it doesn?t make sense to assume that the forward-looking expected monthly returns are the same as the historical returns. Instead, use the following values:
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TC D E Monthly mean and sigma B F 2 3 JCP АAPL F K 4 Historical mean -1.08% 1.46% -2.02% 2.02% 0.75% 5 Anticipated future mean 2.00% 1.50% 1.00% 2.00% 0.60%
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