What code is to be used when I want to calculate the CVaR contribution of an assets i to an equally weighted portfolio?
1 vue (au cours des 30 derniers jours)
Afficher commentaires plus anciens
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!
0 commentaires
Réponses (1)
Gayatri Menon
le 28 Juin 2018
Hi,
The following link might help you get started:
Thanks
Gayatri
0 commentaires
Voir également
Catégories
En savoir plus sur Portfolio Optimization and Asset Allocation dans Help Center et File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!