MvnRnd: Generate normal simulations whose sample moments match the...

Description Usage Arguments Value Author(s) References

Description

Generate normal simulations whose sample moments match the population moments, as described in A. Meucci, "Risk and Asset Allocation", Springer, 2005.

Usage

1
  MvnRnd(M, S, J)

Arguments

M

: [vector] (N x 1) expectation

S

: [matrix] (N x N) covariance matrix

J

: [scalar] number of draws (even number)

Value

X : [matrix] (J x N) of drawsF_U : [vector] (J x 1) PDF values

Author(s)

Xavier Valls flamejat@gmail.com

References

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".


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