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 (, MATLAB Central File Exchange. Recuperato .

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

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

Updated license

Minor code cleanup, fixed some typos in comments.