Description Usage Arguments Value Author(s) References
Generate normal simulations whose sample moments match the population moments, as described in A. Meucci, "Risk and Asset Allocation", Springer, 2005.
1 | MvnRnd(M, S, J)
|
M |
: [vector] (N x 1) expectation |
S |
: [matrix] (N x N) covariance matrix |
J |
: [scalar] number of draws (even number) |
X : [matrix] (J x N) of drawsF_U : [vector] (J x 1) PDF values
Xavier Valls flamejat@gmail.com
A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170, "E 64 - Simulation of a multivariate normal random variable with matching moments".
See Meucci's script for "MvnRnd.m".
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