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Risk and Asset Allocation

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Risk and Asset Allocation

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16 Nov 2005 (Updated )

Software for quantitative portfolio and risk management

NormalCopulaCDF(u,Mu,Sigma)
function F_U = NormalCopulaCDF(u,Mu,Sigma)

N=length(u);
s=sqrt(diag(Sigma));
x=norminv(u,Mu,s);
F_U = mvncdf(x,Mu,Sigma);


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