aux_simulate.scenarios {portfolio.optimization}

Simulate a multivariate-normal scenario.set

Description

aux_simulate.scenarios simulates a scenario.set given a mean vector and a covariance matrix using mvrnorm of the MASS package

Usage

aux_simulate.scenarios(mu, Sigma, n = 1000, seed = 280277)

Arguments

mu

mean vector of asset returns

Sigma

covariance matrix of asset returns

n

number of scenarios to simulate (default 1000)

seed

random number seed (default 280277)

Value

A scenario set 'simulation' with mean 'mu' and covariance 'Sigma'

Author(s)

Ronald Hochreiter, [e-mail]