LognormalParam2Statistics: Compute expectation, covariance, standard deviation and...
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Value
Author(s)
References
Description
Compute expectation, covariance, standard deviation and
correlation for a lognormal distribution, as described in
A. Meucci "Risk and Asset Allocation", Springer, 2005.
Usage
1
LognormalParam2Statistics(Mu, Sigma)
Arguments
Mu
: [vector] (N x 1) location parameter
Sigma
: [matrix] (N x N) scale parameter
Value
Exp : [vector] (N x 1) expectation
Cov : [matrix] (N x N) covariance
Std : [vector] (N x 1) standard deviation
Corr : [matrix] (N x N) correlation
Author(s)
Xavier Valls flamejat@gmail.com
References
A. Meucci - "Exercises in Advanced Risk and Portfolio
Management" http://symmys.com/node/170, "E 85 -
Correlation in lognormal markets".
See Meucci's script for "LognormalParam2Statistics.m"
R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.
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Description Usage Arguments Value Author(s) References
Description
Compute expectation, covariance, standard deviation and correlation for a lognormal distribution, as described in A. Meucci "Risk and Asset Allocation", Springer, 2005.
Usage
1 | LognormalParam2Statistics(Mu, Sigma)
|
Arguments
Mu |
: [vector] (N x 1) location parameter |
Sigma |
: [matrix] (N x N) scale parameter |
Value
Exp : [vector] (N x 1) expectation
Cov : [matrix] (N x N) covariance
Std : [vector] (N x 1) standard deviation
Corr : [matrix] (N x N) correlation
Author(s)
Xavier Valls flamejat@gmail.com
References
A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170, "E 85 - Correlation in lognormal markets".
See Meucci's script for "LognormalParam2Statistics.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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