Historical Scenarios with Fully Flexible Probabilities
Updated 8 May 2011
To walk through the code and for a thorough description, refer to
A. Meucci, (2010) "Personalized Risk Management: Historical Scenarios with Fully Flexible Probabilities"
Latest version of article and code available at http://www.symmys.com/node/150
Attilio Meucci (2023). Historical Scenarios with Fully Flexible Probabilities (https://www.mathworks.com/matlabcentral/fileexchange/31360-historical-scenarios-with-fully-flexible-probabilities), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Platform CompatibilityWindows macOS Linux
- Computational Finance > Financial Toolbox > Portfolio Optimization and Asset Allocation >
- Computational Finance > Risk Management Toolbox >
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