Real-world equity calibration: Target setting methodology for equity
Document ID: 2009-1329 (previously 2009/003)
Published on: 16th April 2009
Author: Frederic El Cherif
A major challenge in risk management is producing target distributions for equity excess returns across many equity markets at various horizons - typically between 1 and 50 years. This note explains our methodology for setting such targets.
The methodology is intended to produce targets for the calibration of a range of stochastic models for equity returns.
