CVaR Portfolio Optimization

バージョン 2.0.0 (263 KB) 作成者: MathWorks Quant Team
Conditional Value at Risk (CVaR) portfolio optimization with the PortfolioCVaR object

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更新 2018/9/18

ライセンスの表示

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

引用

MathWorks Quant Team (2022). CVaR Portfolio Optimization (https://www.mathworks.com/matlabcentral/fileexchange/38288-cvar-portfolio-optimization), MATLAB Central File Exchange. 取得済み .

MATLAB リリースの互換性
作成: R2018a
R2018a 以降と互換性あり
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