Visualizing the Propagation of Risk

Square-root rule diffusion for location-dispersion ellipsoid


Updated 12 May 2011

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To walk through the code and for a thorough description, refer to
A. Meucci (2010), "Visualizing the Propagation of Risk: Square-Root Rule, Covariances and Ellipsoids"
Latest version of article and code available at

Cite As

Attilio Meucci (2023). Visualizing the Propagation of Risk (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2010b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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