Visualizing the Propagation of Risk

Version 1.0.0.0 (12.6 KB) by Attilio Meucci
Square-root rule diffusion for location-dispersion ellipsoid
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Updated 12 May 2011

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To walk through the code and for a thorough description, refer to
A. Meucci (2010), "Visualizing the Propagation of Risk: Square-Root Rule, Covariances and Ellipsoids"
Latest version of article and code available at http://symmys.com/node/137

Cite As

Attilio Meucci (2024). Visualizing the Propagation of Risk (https://www.mathworks.com/matlabcentral/fileexchange/31425-visualizing-the-propagation-of-risk), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2010b
Compatible with any release
Platform Compatibility
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Version Published Release Notes
1.0.0.0