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Copula-Marginal Algorithm (CMA)

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5.0 | 1 rating Rate this file 20 Downloads (last 30 days) File Size: 4.85 KB File ID: #32701 Version: 1.1
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Copula-Marginal Algorithm (CMA)

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26 Aug 2011 (Updated )

Copula-Marginal Algorithm, to generate and manipulate rich copulas for risk and portfolio management

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Description

To walk through the code and for a thorough description, refer to A. Meucci, "A New Breed of Copulas for Risk and Portfolio Managemen", Risk (September 2011).
Latest version of article and code available at http://symmys.com/node/335

Required Products Optimization Toolbox
MATLAB release MATLAB 7.12 (R2011a)
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08 Sep 2015 Prasenjit  
Updates
09 Sep 2011 1.1

modified title and short description

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