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Create Portfolio

Create PortfolioCVaR object for conditional value-at-risk (CVaR) portfolio optimization

To create a fully specified CVaR portfolio optimization problem, instantiate the PortfolioCVaR object using PortfolioCVaR. For information on the workflow when using PortfolioCVaR objects, see PortfolioCVaR Object Workflow. For information about creating a PortfolioCVaR object, see CVaR Portfolio Optimization (4 min 56 sec).

Objects

PortfolioCVaRCreates PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis

Functions

setAssetListSet up list of identifiers for assets
setInitPortSet up initial or current portfolio
setDefaultConstraintsSet up portfolio constraints with nonnegative weights that sum to 1
setProbabilityLevelSet probability level for VaR and CVaR calculations

Topics

Portfolio Optimizations

Portfolio Theory