ComputeMoments: Takes a matrix of joint-scenario probability distributions...

In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.

Description

Takes a matrix of joint-scenario probability distributions and generates expectations, standard devation, and correlation matrix for the assets

Usage

  ComputeMoments(X, p)

Arguments

X	a matrix of joint-probability scenarios (rows are scenarios, columns are assets)
p	a numeric vector containing the probabilities for each of the scenarios in the matrix X

Value

means a numeric vector of the expectations (probability weighted) for each asset

sd a numeric vector of standard deviations corresponding to the assets in the covariance matrix

correlationMatrix the correlation matrix resulting from converting the covariance matrix to a correlation matrix

Author(s)

Ram Ahluwalia [e-mail]

R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.