Description Usage Arguments Value Author(s) References
This function uses Entropy Pooling to compute a double-decay covariance matrix, as described in A. Meucci, "Personalized Risk Management: Historical Scenarios with Fully Flexible Probabilities" GARP Risk Professional, Dec 2010, p 47-51
1 | Fit2Moms(X, m, S)
|
X |
matrix representing the risk drivers. |
m |
matrix of zeros, representing the expectation of the risk drivers. |
S |
matrix representing the double-decay estimation for the correlation matrix of the risk drivers. |
p list containing the vector of posterior probabilities and information about the optimization performance.
Xavier Valls flamejat@gmail.com
http://www.symmys.com/node/150 See Meucci script for "S_MainFullFlexProbs.m"
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