CVaR Portfolio Optimization

Conditional Value at Risk (CVaR) portfolio optimization with the PortfolioCVaR object

3.6K descargas

Actualizado 18 Sep 2018

Ver licencia

This example shows a Conditional Value at Risk (CVaR) portfolio optimization workflow, which includes:
* How to simulate asset scenarios based on normal distribution and the empirical distribution
* How to construct a portfolio using PortfolioCVaR object
* How to evaluate the efficient frontier
* How to extract the portfolio weights
* How to calculate CVaR of the portfolio

Citar como

MathWorks Quant Team (2023). CVaR Portfolio Optimization (https://www.mathworks.com/matlabcentral/fileexchange/38288-cvar-portfolio-optimization), MATLAB Central File Exchange. Recuperado .

Compatibilidad con la versión de MATLAB
Se creó con R2018a
Compatible con cualquier versión desde R2018a
Compatibilidad con las plataformas
Windows macOS Linux

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!
Versión Publicado Notas de la versión
2.0.0

Major update for the example using newer capabilities of MATLAB and Toolboxes

1.3.0.1

Updated license

1.3.0.0

Minor code cleanup, fixed some typos in comments.

1.0.0.0