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创建投资组合

为条件风险值 (CVaR) 投资组合优化创建 PortfolioCVaR 对象

有关创建 PortfolioCVaR 对象的信息,请参阅 CVaR Portfolio Optimization (4 min 56 sec)

对象

PortfolioCVaRCreates PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis

函数

setAssetListSet up list of identifiers for assets
setInitPortSet up initial or current portfolio
setDefaultConstraintsSet up portfolio constraints with nonnegative weights that sum to 1
setProbabilityLevelSet probability level for VaR and CVaR calculations

示例和操作指南

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 property InitPort lets you identify an initial or current portfolio.

概念

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.