To calculate the distribution function of the linear portfolio X = uiZ^ + u^Z^, given by P[X alt;s]= P[WlZ(1) + Apj2Z(2) alt; a], from the joint ... Had we attempted to calculate optimal portfolios for portfolios with d agt; 2 instruments, we would have had to calculate d dimensional analogues of the double integrals (7.20). ... The numerical integration was carried out with the numerical integration tool provided in Matlab.

Title | : | Dependence structures beyond copulas |

Author | : | Joerg Rothenbuehler |

Publisher | : | - 2005 |

Continue