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 Creating the PortfolioCVaR Object.
Objects
PortfolioCVaR | Creates PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis |
Functions
setAssetList | Set up list of identifiers for assets |
setInitPort | Set up initial or current portfolio |
setDefaultConstraints | Set up portfolio constraints with nonnegative weights that sum to 1 |
setProbabilityLevel | Set probability level for VaR and CVaR calculations |
Topics
Portfolio Optimizations
- Creating the PortfolioCVaR Object
To create a fully specified CVaR portfolio optimization problem, instantiate the PortfolioCVaR object using the PortfolioCVaR function. - Common Operations on the PortfolioCVaR Object
Common operations for setting up a PortfolioCVaR object. - Setting Up an Initial or Current Portfolio
The PortfolioCVaR object propertyInitPortlets you identify an initial or current portfolio.
Portfolio Theory
- Portfolio Optimization Theory
Portfolios are points from a feasible set of assets that constitute an asset universe. - PortfolioCVaR Object
Using the PortfolioCVaR object and associated functions for portfolio optimization. - PortfolioCVaR Object Workflow
PortfolioCVaR object workflow for creating and modeling a conditional value-at-risk (CVaR) portfolio. - When to Use Portfolio Objects Over Optimization Toolbox
The three cases for using Portfolio, PortfolioCVaR, PortfolioMAD object are: always use, preferred use, and use Optimization Toolbox.
