PanicCopula: Copula-Marginal Algorithm (CMA)

In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.

Description

Copula-Marginal Algorithm (CMA) to generate and manipulate flexible copulas, as described in Meucci A., "New Breed of Copulas for Risk and Portfolio Management", Risk, September 2011 Most recent version of article and code available at http://www.symmys.com/node/335

Usage

  PanicCopula(N = 20, J = 50000, r_c = 0.3, r = 0.99,
    b = 0.02, sig = 0.2, sigma)

Arguments

N	number of assets
J	number of samples from joint distribution of asset returns
r_c	average correlation in a calm market
r	average correlation in a panic market
b	probability of a panic market occurring
sigma	covariance matrix of asset returns
sig	TBD

Value

a list with: copula a couplua hist a object of type histogram p_ the revised probabilities (invisible) meanReturn the mean return for the portfolio given the views varianceReturn the variance of the portfolio returns

Author(s)

Ram Ahluwalia [e-mail]

References

http://www.symmys.com

Examples

PanicCopula( N = 20 , J = 50000 , r_c = .3 , r = .99 , b = .02 , sig = .2 , sigma )

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