MathWorks - Mobile View
  • Accedere al proprio MathWorks AccountAccedere al proprio MathWorks Account
  • Access your MathWorks Account
    • Il Mio Account
    • Il mio Profilo utente
    • Associa Licenza
    • Disconnettiti
  • Prodotti
  • Soluzioni
  • Università
  • Assistenza
  • Community
  • Eventi
  • Acquista MATLAB
MathWorks
  • Prodotti
  • Soluzioni
  • Università
  • Assistenza
  • Community
  • Eventi
  • Acquista MATLAB
  • Accedere al proprio MathWorks AccountAccedere al proprio MathWorks Account
  • Access your MathWorks Account
    • Il Mio Account
    • Il mio Profilo utente
    • Associa Licenza
    • Disconnettiti

Video e Webinar

  • MathWorks
  • Video
  • Home Video
  • Cerca
  • Home Video
  • Cerca
  • Contattaci
  • Software di prova
  Register to watch video
  • Description
  • Related Resources

Risk Management of a Composite Commodity Portfolio Using Monte Carlo Simulation and MATLAB

Gianluca Fusai, Cass Business School

In this session, we discuss how to properly assess the risk-return tradeoff of a composite commodity portfolio. We examine estimation versus calibration issues and look at a real-world case study of a complex commodity portfolio, which will be presented via Monte Carlo simulation. Risk contribution of the portfolio components and how to find the best hedge are also discussed, through a MATLAB implementation.

Recorded: 19 Jun 2012

Related Products

  • MATLAB

Feedback

Featured Product

MATLAB

  • Request Trial
  • Get Pricing

Up Next:

2:24
ARPM and KKR Find Practical Quantitative Solutions to...

Related Videos:

25:44
Credit Portfolio Simulation with MATLAB
47:31
Energy Trading & Risk Management with MATLAB
57:28
Using MATLAB to Bridge the Gap Between the Portfolio...
30:55
How Fennia Life Models Insurance Risk for Solvency II,...

View more related videos

MathWorks - Domain Selector

Select a Web Site

Choose a web site to get translated content where available and see local events and offers. Based on your location, we recommend that you select: .

Select web site

You can also select a web site from the following list:

How to Get Best Site Performance

Select the China site (in Chinese or English) for best site performance. Other MathWorks country sites are not optimized for visits from your location.

Americas

  • América Latina (Español)
  • Canada (English)
  • United States (English)

Europe

  • Belgium (English)
  • Denmark (English)
  • Deutschland (Deutsch)
  • España (Español)
  • Finland (English)
  • France (Français)
  • Ireland (English)
  • Italia (Italiano)
  • Luxembourg (English)
  • Netherlands (English)
  • Norway (English)
  • Österreich (Deutsch)
  • Portugal (English)
  • Sweden (English)
  • Switzerland
    • Deutsch
    • English
    • Français
  • United Kingdom (English)

Asia Pacific

  • Australia (English)
  • India (English)
  • New Zealand (English)
  • 中国
    • 简体中文Chinese
    • English
  • 日本Japanese (日本語)
  • 한국Korean (한국어)

Contact your local office

  • Contattaci
  • Software di prova

Scopri i nostri prodotti

  • MATLAB
  • Simulink
  • Software per studenti​
  • Supporto hardware
  • File Exchange

Prova o Acquista

  • Download
  • Software di prova
  • Contattaci
  • Prezzi e licenze
  • Come acquistare

Impara ad utilizzare i nostri prodotti

  • Documentazione
  • Tutorial
  • Esempi
  • Video e Webinar
  • Formazione

Ricevi supporto tecnico

  • Aiuto all'installazione
  • Risposte​
  • Consulenza
  • License Center
  • Contatta l'assistenza

Informazioni su MathWorks

  • Lavora con noi
  • Sala stampa
  • Missione sociale​
  • Contattaci
  • Informazioni su MathWorks

MathWorks

Accelerating the pace of engineering and science

MathWorks è leader nello sviluppo di software per il calcolo matematico per ingegneri e ricercatori

Scopri…

  • Select a Web Site United States
  • Brevetti
  • Marchi
  • Informativa sulla privacy
  • Antipirateria
  • Stato dell'applicazione

© 1994-2021 The MathWorks, Inc.

  • Facebook
  • Twitter
  • Instagram
  • YouTube
  • LinkedIn
  • RSS

Unisciti alla discussione

This website uses cookies to improve your user experience, personalize content and ads, and analyze website traffic.  By continuing to use this website, you consent to our use of cookies.  Please see our Privacy Policy to learn more about cookies and how to change your settings.