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Risk and Asset Allocation

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Risk and Asset Allocation


Attilio Meucci (view profile)


16 Nov 2005 (Updated )

Software for quantitative portfolio and risk management

function f = LognormalPDF(x,Mu,Sigma)
% this function computes the pdf of the N-variate lognormal distribution
% see "Risk and Asset Allocation"-Springer (2005), by A. Meucci
% formula (2.218)

K=(2*pi)^(-N/2) * (  (det(Sigma))^(-.5) ) ;
z2 = (log(x)-Mu)'*inv(Sigma)*(log(x)-Mu);
f = K/prod(x)*exp(-.5*z2);

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