Integral construction and betainv

Hi everyone!!!

I need some help to construct the fun in order to run the integral that contains betainv.

My code is the following:

m=1000;
l=1000000*0.6;
pbar= [0.02,0.02,0.05,0.05,0.1,0.1];
rho=[0.2,0.8,0.2,0.8,0.2,0.8];
a=pbar.*(1-rho)./rho;
b= (1-pbar).*(1-rho)./rho;
format long
VaR_95=m*l*betainv(0.95,a,b)
VaR_99=m*l*betainv(0.99,a,b)
VaR_999=m*l*betainv(0.999,a,b)
 alpha=0.95;
 
 fun = @(a,b, alpha) l*m*betainv(0.95,a,b)  ;
ES_95=(1/(1-alpha))*integral(@(alpha) fun(a,b, alpha),alpha,1)

In the end, in finding ES_95, matlab gives me errors and not result.

Thank you in advance!

Answer 1

[Star Strider]

Since ‘pbar’ and ‘rho’ are vectors, use the 'ArrayValued' name-value pair in the integral call:

ES_95=(1/(1-alpha))*integral(@(alpha) fun(a,b, alpha),alpha,1, 'ArrayValued',1)

That worked when I tried it, and produced:

ES_95 =
   1.0e+08 * [0.751401809017565   0.008479691310700   1.560368870762743   2.757477132869889   2.361442477520542   5.742979039200923]

.

[Andreas S]

It works perfect. Thank you very much!!!

[Star Strider]

As always, my pleasure!