资产收益和方案

评估投资组合资产收益率的方案，包括含缺失数据和金融时间序列数据的资产

在使用 PortfolioCVaR 对象的情况下，使用函数评估投资组合资产收益率的方案，包括含缺失数据和金融时间序列数据的资产。

对象

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

`getScenarios`	Obtain scenarios from portfolio object
`setScenarios`	Set asset returns scenarios by direct matrix
`estimateScenarioMoments`	Estimate mean and covariance of asset return scenarios
`simulateNormalScenariosByMoments`	Simulate multivariate normal asset return scenarios from mean and covariance of asset returns
`simulateNormalScenariosByData`	Simulate multivariate normal asset return scenarios from data
`setCosts`	Set up proportional transaction costs for portfolio

Asset Returns and Scenarios Using PortfolioCVaR Object
Given a sample of scenarios, the conditional expectation that defines the sample CVaR of the portfolio is expressed as a finite sum, a weighted average of losses.
Working with a Riskless Asset
The PortfolioCVaR object has a separate RiskFreeRate property that stores the rate of return of a riskless asset.
Working with Transaction Costs
The difference between net and gross portfolio returns is transaction costs.
Hedging Using CVaR Portfolio Optimization
This example shows how to model two hedging strategies using CVaR portfolio optimization with a PortfolioCVaR object.

投资组合优化理论
投资组合是构成资产池的资产可行集中的点。
PortfolioCVaR 对象工作流
用于创建和建模条件风险值 (CVaR) 投资组合的 PortfolioCVaR 对象工作流。
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.