Multivariate quadrature (approximation of joint distribution for portfolio choice)

3 ビュー (過去 30 日間)
Sargondjani 2022 年 11 月 16 日
コメント済み: Sargondjani 2022 年 11 月 17 日
I would like to numerically compute an optimal portfolio, using multiple assets, which are correlated.
So my question is:
  1. Is there a standard approach for multi-dimensional quadrature? (standard deviation and covariance are sufficient statistics). I only saw this on the file exchange:
  2. Or is the standard approach to use Monte Carlo simulation, using random draws from a multi-variate distribution (random number generator)
I specifically do not want to use theoretical solutions, but numerical ones.
Many thanks in advance!
  2 件のコメント
Torsten 2022 年 11 月 16 日
編集済み: Torsten 2022 年 11 月 16 日
The standard approach is to use "int" for symbolic integration or "integral", "integral2", "integral3" for numerical integration.
Sargondjani 2022 年 11 月 17 日
@Torsten thank you!! That works very nice, at least upto 3 dimensions... I guess for higher dimensions I'll have to stick with Monte Carlo simulation.


回答 (0 件)


Help Center および File ExchangePortfolio Optimization and Asset Allocation についてさらに検索

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by