Brief communication - Simulations with exact means and covariances - The author presents a simple method to generate scenarios from multivariate elliptical distributions with given sample means and covariances.
| Year of publication: |
2009
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|---|---|
| Authors: | Meucci, Attilio |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 22.2009, 7, p. 89-91
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