aux_simulate.scenarios: Simulate a multivariate-normal scenario.set
In portfolio.optimization: Contemporary Portfolio Optimization
Description
Usage
Arguments
Value
Author(s)
View source: R/aux_simulate.scenarios.R
Description
aux_simulate.scenarios simulates a scenario.set given a mean vector and
a covariance matrix using mvrnorm of the MASS package
Usage
1
aux_simulate.scenarios(mu, Sigma, n = 1000, seed = 280277)
Arguments
mu
mean vector of asset returns
Sigma
covariance matrix of asset returns
n
number of scenarios to simulate (default 1000)
seed
random number seed (default 280277)
Value
A scenario set 'simulation' with mean 'mu' and covariance 'Sigma'
Author(s)
Ronald Hochreiter, ronald@algorithmic.finance
portfolio.optimization documentation built on May 2, 2019, 8:16 a.m.
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Description Usage Arguments Value Author(s)
View source: R/aux_simulate.scenarios.R
Description
aux_simulate.scenarios simulates a scenario.set given a mean vector and
a covariance matrix using mvrnorm of the MASS package
Usage
1 | aux_simulate.scenarios(mu, Sigma, n = 1000, seed = 280277)
|
Arguments
mu |
mean vector of asset returns |
Sigma |
covariance matrix of asset returns |
n |
number of scenarios to simulate (default 1000) |
seed |
random number seed (default 280277) |
Value
A scenario set 'simulation' with mean 'mu' and covariance 'Sigma'
Author(s)
Ronald Hochreiter, ronald@algorithmic.finance
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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