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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

[M,S]=Log2Lin(Mu,Sigma)
function [M,S]=Log2Lin(Mu,Sigma)

M=exp(Mu+(1/2)*diag(Sigma))-1;
S=exp(Mu+(1/2)*diag(Sigma))*exp(Mu+(1/2)*diag(Sigma))'.*(exp(Sigma)-1);

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