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Visualizing the Propagation of Risk

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Visualizing the Propagation of Risk

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Square-root rule diffusion for location-dispersion ellipsoid

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Description

To walk through the code and for a thorough description, refer to
A. Meucci (2010), "Visualizing the Propagation of Risk: Square-Root Rule, Covariances and Ellipsoids"
Latest version of article and code available at http://symmys.com/node/137

MATLAB release MATLAB 7.11 (R2010b)
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