Community Profile

Professional Interests: Middle Office/Front Office

Contact

Thanks! Your help has been really usefull for me! Giorgio

4687 views

Responded 4 years ago

Hello Greg! Thank you very much for your reply! I wrote down this code: for i=1:N W0(i) = 0.97^(N-i); W(i) = W0(1)/sum(W0(i))...

Hi! thanks for your reply! I want to compute a GBM with a theoretical mean using a Variance Covariance Matrix computed with a de...

Hello! Does anyone knows how can i include the decay factor? (the cov function does not allow me to do that) Thank you very mu...

Posted 4 years ago

thank you very much for your answer! it was helpful! I've implemented this code for i=1:numSim [row(i) col(i)] = find(P(:,i)>(1...

2354 views

Hello, I have a 180x10000 matrix that rapresents 10000 simulation of a portfolio over 15 years of time (monthly, 180=12*15). I...

Hello, I am new to MatLab, and I apologize in advance if what I am about to write sounds banal. I need to simulate a risk free...

1365 views