CVaR Portfolio Optimization

Conditional Value at Risk (CVaR) portfolio optimization with the PortfolioCVaR object
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Aggiornato 18 set 2018

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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

Cita come

MathWorks Quant Team (2024). CVaR Portfolio Optimization (https://www.mathworks.com/matlabcentral/fileexchange/38288-cvar-portfolio-optimization), MATLAB Central File Exchange. Recuperato .

Compatibilità della release di MATLAB
Creato con R2018a
Compatibile con R2018a e release successive
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Versione Pubblicato Note della release
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