What code is to be used when I want to calculate the CVaR contribution of an assets i to an equally weighted portfolio?

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JS
JS 2018 年 6 月 22 日
回答済み: Gayatri Menon 2018 年 6 月 28 日
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!

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Gayatri Menon
Gayatri Menon 2018 年 6 月 28 日
Hi,
The following link might help you get started:
https://www.mathworks.com/discovery/conditional-value-at-risk.html
Thanks
Gayatri

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