Main Content
estimateScenarioMoments
Estimate mean and covariance of asset return scenarios
Description
[
estimates mean and covariance of asset return scenarios for
ScenarioMean
,ScenarioCovar
]
= estimateScenarioMoments(obj
)PortfolioCVaR
or PortfolioMAD
objects.
For details on the workflows, see PortfolioCVaR Object Workflow,
and PortfolioMAD Object Workflow.
Examples
Input Arguments
Output Arguments
Tips
You can also use dot notation to estimate the mean and covariance of asset return scenarios for a portfolio.
[ScenarioMean, ScenarioCovar] = obj.estimateScenarioMoments
Version History
Introduced in R2012b