Code covered by the BSD License
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EntropyProg(p,A,b,Aeq,beq)
Compute posterior (=change of measure) with Entropy Pooling, as described in
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X=CMAcombination(x,u,U)
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X=MvnRnd(M,S,J)
% this function generates normal simulations whose sample moments match the population moments
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[np,x]=pHist(X,p,nBins)
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[x,u,U]=CMAseparation(X,p)
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S_PanicCopula.m
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View all files
Copula-Marginal Algorithm (CMA)
by Attilio Meucci
26 Aug 2011
(Updated 09 Sep 2011)
Copula-Marginal Algorithm, to generate and manipulate rich copulas for risk and portfolio management
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Watch this File
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| File Information |
| 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
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| MATLAB release |
MATLAB 7.12 (2011a)
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| Updates |
| 09 Sep 2011 |
modified title and short description |
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