Great sample files. I think there is an error in the Monte Carlo simulation though. If my understanding is correct, time=0:20 is the number of steps in each simulation. As such, we need to adjust the drifts and std's by it. So in the montecarlo.m file,
drifts = mRet.*dt/(tLen-1);
stds = valat.*sqrt(dt/(tLen-1));
Otherwise we are not projecting one-day returns.
Thank you very much!
I just have one question:
on the PortVarmc.m file the time vector is set like this by default:
exactly, what does it means?
I have a 74 daily observation time series, how do i have to change it?
Sorry to seem dumb but i'm just new to MatLab.
Thanks in advance for your attention.