Is a function similar to PORTSIM available to generate correlated assets with a Brownian geometric motion in which it is possible to define skewness and kurtosis and not only mean and standard deviation?

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MathWorks Support Team 2010-10-12

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In would like to use a function similar to PORTSIM in the framework of correlated assets with a Brownian Geometric motion that is able to account also skewness and kurtosis in the motion definition.

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Answer 1

MathWorks Support Team 2010-10-12

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This function is not available in Financial Toolbox 3.7.1 (R2010a).

As a workaround you can develop this from PORTSIM function as a starting point to sample from some specified distribution to include skewness and kurtosis (instead of calling MVNRND).

You need to be careful to define "correlation". For example, the copula functionality in Statistic Toolbox would be open way to handle this but in this framework then you're usually interested in "rank" correlations.