LognormalMoments2Parameters: Computes the mean and standard deviation of a lognormal...
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Value
Note
Author(s)
References
Description
Computes the mean and standard deviation of a lognormal
distribution from its parameters, as described in A.
Meucci, "Risk and Asset Allocation", Springer, 2005.
σ^{2} = \ln ≤ft( 1 + \frac{V}{E^{2}} \right)
,
μ = \ln(E) - \frac{1}{2} \ln ≤ft( 1 +
\frac{V}{E^{2}} \right) .
Usage
1
Arguments
e
[scalar] expected value of the lognormal
distribution
v
[scalar] variance of the lognormal distribution
Value
mu [scalar] expected value of the normal distribution
sig2 [scalar] variance of the normal distribution
Note
Inverts the formulas (1.98)-(1.99) in "Risk and Asset
Allocation", Springer, 2005.
Author(s)
Xavier Valls flamejat@gmail.com
References
A. Meucci - "Exercises in Advanced Risk and Portfolio
Management" http://symmys.com/node/170, "E 25 -
Simulation of a lognormal random variable".
See Meucci's script for "LognormalMoments2Parameters.m"
R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.
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Description Usage Arguments Value Note Author(s) References
Description
Computes the mean and standard deviation of a lognormal distribution from its parameters, as described in A. Meucci, "Risk and Asset Allocation", Springer, 2005.
σ^{2} = \ln ≤ft( 1 + \frac{V}{E^{2}} \right) ,
μ = \ln(E) - \frac{1}{2} \ln ≤ft( 1 + \frac{V}{E^{2}} \right) .
Usage
1 |
Arguments
e |
[scalar] expected value of the lognormal distribution |
v |
[scalar] variance of the lognormal distribution |
Value
mu [scalar] expected value of the normal distribution
sig2 [scalar] variance of the normal distribution
Note
Inverts the formulas (1.98)-(1.99) in "Risk and Asset Allocation", Springer, 2005.
Author(s)
Xavier Valls flamejat@gmail.com
References
A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170, "E 25 - Simulation of a lognormal random variable".
See Meucci's script for "LognormalMoments2Parameters.m"
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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