Estimate mean and covariance of asset return scenarios
[
estimates mean and covariance of asset return scenarios for
ScenarioMean
,ScenarioCovar
]
= estimateScenarioMoments(obj
)PortfolioCVaR
or PortfolioMAD
objects.
For details on the workflows, see PortfolioCVaR Object Workflow,
and PortfolioMAD Object Workflow.
You can also use dot notation to estimate the mean and covariance of asset return scenarios for a portfolio.
[ScenarioMean, ScenarioCovar] = obj.estimateScenarioMoments