rMvReturnSim: Simulate Stocks Prices

In RMOPI: Risk Management and Optimization for Portfolio Investment

Simulate Stocks Prices

Description

Simulate stocks prices following multivariate normal distribution.

Usage

rMvReturnSim(
  names,
  date,
  mu = rep(0, 2),
  sigma = matrix(c(1, 0.5, 0.5, 1), 2, 2)
)

Arguments

names	vector of names
date	vector of time, must be "Date" type
mu	vector of mu
sigma	vector of sigma

Value

Multivariate stock prices

Examples

names <- c("swan", "bear")
date <- as.Date("2015-01-01") + days(0:29)
rMvReturnSim(names, date)

RMOPI documentation built on Aug. 22, 2022, 5:07 p.m.