Added: April 20, 2013 | Visits: 415
Value-at-Risk calculation for portfolio stocks using variance-covariance, historical and MonteCarlo methods. Portfolio can be larger as you want including either the risk factor (stock index, currency, etc.)
Platforms: Matlab
Added: July 15, 2013 | Visits: 342
Using the Cholesky decomposition, it generates n iterations of multivariate Gaussian random variables for a given mean vector (mu) and variance-covariance matrix (sigma).mvgrnd(mu,sigma,n)
Platforms: Matlab
| License: Shareware |
Cost: $0.00 USD |
Size: 10 KB | Download (43): MVGRND Download |
Windows Software
Albina Merfyn - I find this to be really easy to use. I can...
