%% Estimate Mean and Covariance of Asset Return Scenarios for a PortfolioCVaR Object
% Given PortfolioCVaR object p, use the estimatePortRisk function to estimate mean and covariance of asset return scenarios.

m = [ 0.05; 0.1; 0.12; 0.18 ];
C = [ 0.0064 0.00408 0.00192 0; 
    0.00408 0.0289 0.0204 0.0119;
    0.00192 0.0204 0.0576 0.0336;
    0 0.0119 0.0336 0.1225 ];
m = m/12;
C = C/12;

rng(11);

AssetScenarios = mvnrnd(m, C, 20000);

p = PortfolioCVaR;
p = setScenarios(p, AssetScenarios);
p = setDefaultConstraints(p);
p = setProbabilityLevel(p, 0.95);

[ScenarioMean, ScenarioCovar] = estimateScenarioMoments(p)

% The function rng(seed) resets the random number generator to produce the documented results. It is not necessary to reset the random number generator to simulate scenarios.
% Copyright 2015 The MathWorks, Inc.