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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

LogLik(x,Nu,Mu,Sigma)
function LL = LogLik(x,Nu,Mu,Sigma)

InvS=inv(Sigma);
N=size(x,2);

Norm=-N/2*log(Nu*pi) + log(gamma((Nu+N)/2)) - log(gamma(Nu/2)) - 1/2*log(det(Sigma));

LL=0;
for t=1:size(x,1)
       
    Ma2 = (x(t,:)'-Mu)'*InvS*(x(t,:)'-Mu);
    LL = LL + Norm - (Nu+N)/2 * log(1+Ma2/Nu);
end

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