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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

TCopulaCDF(u,nu,Mu,Sigma)
function F_U = TCopulaCDF(u,nu,Mu,Sigma)

N=length(u);
[s,C] = cov2corr(Sigma);
x=norminv(u,Mu,s');

F_U = mvtcdf(x-Mu./s',C,nu);


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