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Copula-Marginal Algorithm (CMA)

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5.0 | 1 rating Rate this file 16 Downloads (last 30 days) File Size: 4.85 KB File ID: #32701 Version: 1.1
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Copula-Marginal Algorithm (CMA)



26 Aug 2011 (Updated )

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

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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

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

modified title and short description

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