CVaR Portfolio Optimization

Version 2.0.0 (263 ko) par MathWorks Quant Team
Conditional Value at Risk (CVaR) portfolio optimization with the PortfolioCVaR object
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Mise à jour 18 sept. 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

Citation pour cette source

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

Compatibilité avec les versions de MATLAB
Créé avec R2018a
Compatible avec les versions R2018a et ultérieures
Plateformes compatibles
Windows macOS Linux
Catégories
En savoir plus sur Portfolio Optimization and Asset Allocation dans Help Center et MATLAB Answers

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Version Publié le Notes de version
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