fit_to_moments

Internal function that computes the flexible probabilities given by
double-decay covariance matrix.

internal

Implements numerical entropy-pooling for portfolio construction and
scenario analysis as described in Meucci, Attilio (2008) and Meucci, Attilio (2010)
<doi:10.2139/ssrn.1696802>.

Bernardo Reckziegel

Fully Flexible Probabilities for Stress Testing and Portfolio
Construction

fit_to_moments function

<dl><dt>X</dt>
<dd>A <code>matrix</code> of size <code>TxN</code> with relevant the risk drivers.</dd>
<dt>m</dt>
<dd>A <code>matrix</code> of size <code>Nx1</code> given by <code>Double_Decay</code>
with risk drivers location.</dd>
<dt>S</dt>
<dd>A <code>matrix</code> of size <code>NxN</code> given by <code>Double_Decay</code>
with the dispersion matrix of the risk drivers.</dd></dl>

Arguments

Double-Decay Covariance Matrix by Entropy-Pooling — fit_to_moments

<dl>

<dt>X</dt>
<dd>A <code>matrix</code> of size <code>TxN</code> with relevant the risk drivers.</dd>


<dt>m</dt>
<dd>A <code>matrix</code> of size <code>Nx1</code> given by <code>Double_Decay</code>
with risk drivers location.</dd>


<dt>S</dt>
<dd>A <code>matrix</code> of size <code>NxN</code> given by <code>Double_Decay</code>
with the dispersion matrix of the risk drivers.</dd>

</dl>

fit_to_moments: Double-Decay Covariance Matrix by Entropy-Pooling

Description

Usage

Value

Arguments