aux_simulate.scenarios: 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`