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 property InitPort lets 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.