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

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