CVaR optimization

Versione 1.0.0.0 (5,83 KB) da Manthos Vogiatzoglou
The file provides scripts and functions to estimate the optimal portfolio by minimizing CVaR
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Aggiornato 26 ago 2008

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Estimate optimal portfolios by minimizing CvaR. Read the file "Read me first" for instructions

Cita come

Manthos Vogiatzoglou (2024). CVaR optimization (https://www.mathworks.com/matlabcentral/fileexchange/19907-cvar-optimization), MATLAB Central File Exchange. Recuperato .

Compatibilità della release di MATLAB
Creato con R2006a
Compatibile con qualsiasi release
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CVaR optimization/functions/

CVaR optimization/scripts/

Versione Pubblicato Note della release
1.0.0.0

a bug about short position is now fixed