What code is to be used when I want to calculate the CVaR contribution of an assets i to an equally weighted portfolio?

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JS il 22 Giu 2018

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Risposto: Gayatri Menon il 28 Giu 2018

I know that I have to include the respective correlation factors of each asset i to portfolio but I cannot figure out a proper code. I'd highly appreciate any help!

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Gayatri Menon il 28 Giu 2018

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Hi,

The following link might help you get started:

https://www.mathworks.com/discovery/conditional-value-at-risk.html

Thanks

Gayatri

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