Risk Management of a Composite Commodity Portfolio Using Monte Carlo Simulation and MATLAB

Gianluca Fusai, Cass Business School

In this session, we discuss how to properly assess the risk-return tradeoff of a composite commodity portfolio. We examine estimation versus calibration issues and look at a real-world case study of a complex commodity portfolio, which will be presented via Monte Carlo simulation. Risk contribution of the portfolio components and how to find the best hedge are also discussed, through a MATLAB implementation.

Product Focus

  • MATLAB

Recorded: 19 Jun 2012